Black?Scholes option pricing model: Comparison of h-convergence of the DG method with respect to boundary condition treatment
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090771" target="_blank" >RIV/61989100:27510/14:86090771 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Black?Scholes option pricing model: Comparison of h-convergence of the DG method with respect to boundary condition treatment
Original language description
The Black?Scholes model, despite its obvious drawbacks, can still be very useful for pricing many types of options. Moreover, in the case of many options, the Black?Scholes conditions can be utilized, but instead of a closed-form solution to the option pricing problem, a numerical approach is followed. The main goal of this paper is to analyse numerically an h-convergence of the discontinuous Galerkin (DG) method for the solution of the vanilla option pricing problem and achieve a better resolution of the influence of different boundary treatments on approximate solutions. The numerical results are presented and compared for several choices of Dirichlet, Neumann and transparent boundary conditions with respect to the order of polynomial approximation.The experiment parameters originate from real data of the German DAX index on 15 September 2011.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
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)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
ECON ? Journal of Economic, Management and Business
ISSN
1803-3865
e-ISSN
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Volume of the periodical
24
Issue of the periodical within the volume
3
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
12
Pages from-to
141-152
UT code for WoS article
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EID of the result in the Scopus database
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