Numerical pricing of European discrete barrier basket options via the discontinuous Galerkin method

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094776" target="_blank" >RIV/61989100:27510/15:86094776 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Numerical pricing of European discrete barrier basket options via the discontinuous Galerkin method
Original language description
This paper extends the results from the authors’ previous research on a single plain vanilla option pricing problem by discontinuous Galerkin method. By contrast, we focus here on options, whose payoff depends on two distinct sources of randomness and is conditional on a barrier activating at discrete time moments. The developed numerical scheme for pricing of such options is based on the discontinuous Galerkin method, which is a suitable tool for the analysis of a priori discontinuities in the solution due to the discrete monitoring. Several barriers are discussed and the resulting algorithm is verified on experiments with real market data.
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)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Financial Management of Firms and Financial Institutions : 10th international scientific conference : 7th - 8th September 2015, Ostrava, Czech Republic : proceedings. [Part I - IV]
ISBN
978-80-248-3865-6
ISSN
2336-162X
e-ISSN
neuvedeno
Number of pages
11
Pages from-to
385-395
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 7, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000376799500044

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