Robust Numerical Schemes for Pricing of Selected Options

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F18%3A00006313" target="_blank" >RIV/46747885:24510/18:00006313 - isvavai.cz</a>
Alternative codes found
RIV/61989100:27510/18:10241022 RIV/61988987:17610/19:A2001ZTK RIV/61989100:27510/18:86090744
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Robust Numerical Schemes for Pricing of Selected Options
Original language description
Option pricing is a very attractive issue of fi nancial engineering and optimization. The problem of determining the fair price of an option arises from the assumptions made under a given fi nancial market model. The increasing complexity of such assumptions contributes to the popularity of the numerical treatment of option valuation. This book presents three novel numerical techniques arising from the discontinuous Galerkin method, the wavelet approach and the fuzzy transform technique. A theoretical comparison is accompanied by an empirical study based on the numerical verifi cation of simple vanilla option prices and their sensitivities. The advanced treatment of option pricing provided in the book makes it useful especially for Ph.D. students, researchers as well as practitioners in fi nancial sector.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
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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