DG method for numerical pricing of multi-asset Asian options – A case of options with floating strike
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F17%3A00005083" target="_blank" >RIV/46747885:24510/17:00005083 - isvavai.cz</a>
Result on the web
<a href="http://articles.math.cas.cz/10.21136/AM.2017.0273-16/?type=F" target="_blank" >http://articles.math.cas.cz/10.21136/AM.2017.0273-16/?type=F</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.21136/AM.2017.0273-16" target="_blank" >10.21136/AM.2017.0273-16</a>
Alternative languages
Result language
angličtina
Original language name
DG method for numerical pricing of multi-asset Asian options – A case of options with floating strike
Original language description
Option pricing models are an important part of financial markets worldwide. The PDE formulation of these models leads to analytical solutions only under very strong simplifications. For more general models the option price needs to be evaluated by numerical techniques. First, based on an ideal pure diffusion process for two risky asset prices with an additional path-dependent variable for continuous arithmetic average, we present a general form of PDE for pricing of Asian option contracts on two assets. Further, we focus only on one subclass—Asian options with floating strike—and introduce the concept of the dimensionality reduction with respect to the payoff leading to PDE with two spatial variables. Then the numerical option pricing scheme arising from the discontinuous Galerkin method is developed and some theoretical results are also mentioned. Finally, the aforementioned model is supplemented with numerical results on real market data.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10102 - Applied mathematics
Result continuities
Project
<a href="/en/project/GA16-09541S" target="_blank" >GA16-09541S: Robust numerical schemes for pricing of selected options under various market conditions</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Applications of Mathematics
ISSN
0862-7940
e-ISSN
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Volume of the periodical
62
Issue of the periodical within the volume
2
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
25
Pages from-to
171-195
UT code for WoS article
000411068700002
EID of the result in the Scopus database
2-s2.0-85027855972