A discontinuous Galerkin method for pricing of two-asset options
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094782" target="_blank" >RIV/61989100:27510/15:86094782 - isvavai.cz</a>
Alternative codes found
RIV/46747885:24510/16:00004019
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
A discontinuous Galerkin method for pricing of two-asset options
Original language description
A standard assumption of option pricing models is Gaussian distribution. Despite its simplifying features, it can lead to analytical solution only in some special cases, such as plain vanilla options, continuously monitored price of path dependent options, etc. In other cases, a numerical procedure should be involved to get the option price. In this paper we focus on options whose payoff is given by several (dependent) risk sources – a so called basket options – and develop a numerical scheme to their pricing via discontinuous Galerkin (DG) approach combining the advantages of the finite element methods together with the discontinuous approach. In order to illustrate the potency of the presented numerical scheme we carry out numerical experiments with real data.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50206 - Finance
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
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
Mathematical Methods in Economics, MME 2015 : 33rd international conference : conference proceedings : Cheb, Czech Republic, September 9-11, 2015
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
neuvedeno
Number of pages
6
Pages from-to
273-278
Publisher name
University of West Bohemia
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
000387898900047