On the Discontinuous Galerkin Method for Numerical Pricing of Basket Spread Options with the Average Strike

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F17%3A00005091" target="_blank" >RIV/46747885:24510/17:00005091 - isvavai.cz</a>
Alternative codes found
RIV/61989100:27510/17:10238022
Result on the web
<a href="https://doi.org/10.1063/1.4992301" target="_blank" >https://doi.org/10.1063/1.4992301</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1063/1.4992301" target="_blank" >10.1063/1.4992301</a>

Result language
angličtina
Original language name
On the Discontinuous Galerkin Method for Numerical Pricing of Basket Spread Options with the Average Strike
Original language description
The paper is based on the results from our recent research on path-dependent multi-asset options. Here we focus on options, payoff of which depends on the difference of the spread of two underlying assets at expiry and their average spread during the life of the option. The main idea uses a concept of the dimensional reduction to the PDE model with only two spatial variables describing this option pricing problem. Then the numerical option pricing scheme arising from the discontinuous Galerkin method is developed. Finally, a simple numerical result is presented on real market data.
Czech name
—
Czech description
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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)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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