Fractional Step Method for Wavelet Based Solution of Black-Scholes Equation

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F17%3A00005131" target="_blank" >RIV/46747885:24510/17:00005131 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1063/1.4968453" target="_blank" >http://dx.doi.org/10.1063/1.4968453</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1063/1.4968453" target="_blank" >10.1063/1.4968453</a>

Result language
angličtina
Original language name
Fractional Step Method for Wavelet Based Solution of Black-Scholes Equation
Original language description
The fractional step method is a method of approximation of evolution equations based on decomposition of the operators they contain. In recent years, operator splitting methods have been developed that enable an efficient and stable numerical solution of PDEs. This contribution is concerned with a wavelet based numerical solution of the Black-Scholes equation for pricing European options. We use an operator splitting method to split the arising system of equations into an symmetric part and into an unsymmetric part. Then, we apply the theta-scheme for the time discretization and wavelets for the space discretization. Consequently, the arising system of equations can be efficiently preconditioned using an wavelet based preconditioning. Numerical examples are given.
Czech name
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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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