Implicit-explicit scheme combined with wavelets for pricing European options

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F18%3A00006300" target="_blank" >RIV/46747885:24510/18:00006300 - isvavai.cz</a>
Result on the web
<a href="http://fim2.uhk.cz/mme/index.php?page=conferenceproceedings" target="_blank" >http://fim2.uhk.cz/mme/index.php?page=conferenceproceedings</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Implicit-explicit scheme combined with wavelets for pricing European options
Original language description
Option products are frequently traded in the financial markets. To price these options, advanced mathematical models are employed, yielding multidimensional parabolic partial differential equations of the convection-diffusion type. And it is necessary to develop efficient, stable, and robust numerical methods to solve them. We start here with the one-dimensional Black-Scholes equation. We employ the implicit-explicit scheme for time discretization and wavelets for space discretization. First, we split the standard weak form of the Black-Scholes operator into an symmetric part and into an unsymmetric part. And then we treat implicitly the symmetric part of the weak form of the Black-Scholes operator and explicitly its unsymmetric part. Consequently, the arising system of equations can be efficiently preconditioned using the standard 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
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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