Variational Formulation of Option Pricing Problem a Platform for Finite Element Method in Finance
The result's identifiers
Result code in IS VaVaI
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Variational Formulation of Option Pricing Problem a Platform for Finite Element Method in Finance
Original language description
The paper deals with variational formulation of option pricing problems. We start from the well-known case, the Black-Scholes model for a put option with strike price and maturity given, which assumes the underlying asset to follow a geometric Brownian motion. This problem provides a reasonable basic framework to follow basic steps of derivation of variational formulation of option pricing problem. In general, variational formulation consists of finding a continuous function defined on the time intervalwith the values in a properly defined functional space. Finite element method applied to option pricing problem in finance yields usually a system of ordinary differential equations if discretization process applies to space domain of underlying asset only. However, we mention also full discretization scheme which is achieved using space-time formulated finite elements. Application of specified option pricing boundary conditions can be realized in various forms being dependent upon the
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Conference Proceedings, 33th International Conference Mathematical Methods in Economics
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
467-472
Publisher name
Západočeská univerzita v Plzni
Place of publication
Plzeň
Event location
Cheb
Event date
Sep 9, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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