A DG approach to the numerical solution of the Stein-Stein stochastic volatility option pricing model

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F17%3A00005094" target="_blank" >RIV/46747885:24510/17:00005094 - isvavai.cz</a>

Alternative codes found

RIV/61989100:27510/17:10240134

Result on the web

<a href="https://doi.org/10.1063/1.5013965" target="_blank" >https://doi.org/10.1063/1.5013965</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1063/1.5013965" target="_blank" >10.1063/1.5013965</a>

Result language

angličtina

Original language name

A DG approach to the numerical solution of the Stein-Stein stochastic volatility option pricing model

Original language description

Stochastic volatility models enable to capture the real world features of the options better than the classical Black- Scholes treatment. Here we focus on pricing of European-style options under the Stein-Stein stochastic volatility model when the option value depends on the time, on the price of the underlying asset and on the volatility as a function of a mean reverting Orstein-Uhlenbeck process. A standard mathematical approach to this model leads to the non-stationary second-order degenerate partial differential equation of two spatial variables completed by the system of boundary and terminal conditions. In order to improve the numerical valuation process for a such pricing equation, we propose a numerical technique based on the discontinuous Galerkin method and the Crank-Nicolson scheme. Finally, reference numerical experiments on real market data illustrate comprehensive empirical findings on options with stochastic volatility.

Czech name

—

Czech description

—

Type

D - Article in proceedings

CEP classification

—

OECD FORD branch

10102 - Applied mathematics

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

Article name in the collection

AIP Conference Proceedings

ISBN

978-0-7354-1602-4

ISSN

0094-243X

e-ISSN

—

Number of pages

7

Pages from-to

—

Publisher name

—

Place of publication

Melville

Event location

Sozopol, Bulgaria

Event date

Jan 1, 2017

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

000423866900028