Option Pricing under the Kou Jump-Diffusion Model: a DG Approach
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F19%3A00008639" target="_blank" >RIV/46747885:24510/19:00008639 - isvavai.cz</a>
Alternative codes found
RIV/61989100:27510/19:10243826
Result on the web
<a href="https://aip.scitation.org/doi/10.1063/1.5133547" target="_blank" >https://aip.scitation.org/doi/10.1063/1.5133547</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1063/1.5133547" target="_blank" >10.1063/1.5133547</a>
Alternative languages
Result language
angličtina
Original language name
Option Pricing under the Kou Jump-Diffusion Model: a DG Approach
Original language description
More empiricism in modelling of option contracts is obtained when the jump-diffusion models are employed. Such models extend the standard Black-Scholes framework by adding jumps to the dynamics of underlying asset prices and enable to describe large and sudden changes in the underlying. The paper is devoted to the discontinuous Galerkin method applied to European option pricing under the Kou model where jump sizes are double exponentially distributed. The pricing function satisfies a partial integro-differential equation, which involves both integrals and derivatives of an unknown option value function. With a localization to a bounded spatial domain, the governing equation is discretized by the discontinuous Galerkin method over a finite element mesh and it is integrated in temporal variable by a semi-implicit Euler scheme, where the differential part is treated implicitly while the integral one explicitly by the composite trapezoidal rule. This approach thus leads to a sparse linear algebraic system at each time level. Finally, numerical results demonstrate the capability of the scheme presented within the reference benchmarks.
Czech name
—
Czech description
—
Classification
Type
D - Article in proceedings
CEP classification
—
OECD FORD branch
10102 - Applied mathematics
Result continuities
Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
AIP Conference Proceedings
ISBN
978-0-7354-1919-3
ISSN
0094-243X
e-ISSN
—
Number of pages
8
Pages from-to
—
Publisher name
American Institute of Physics
Place of publication
Melville
Event location
Sozopol
Event date
Jan 1, 2019
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000521744400065