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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

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • 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

  • 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