A discontinuous Galerkin method for numerical pricing of European options under Heston stochastic volatility

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A10238020" target="_blank" >RIV/61989100:27510/16:10238020 - isvavai.cz</a>
Alternative codes found
RIV/46747885:24510/17:00005093
Result on the web
<a href="http://dx.doi.org/10.1063/1.4968449" target="_blank" >http://dx.doi.org/10.1063/1.4968449</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1063/1.4968449" target="_blank" >10.1063/1.4968449</a>

Result language
angličtina
Original language name
A discontinuous Galerkin method for numerical pricing of European options under Heston stochastic volatility
Original language description
The paper is based on the results from our recent research on multidimensional option pricing problems. We focus on European option valuation when the price movement of the underlying asset is driven by a stochastic volatility following a square root process proposed by Heston. The stochastic approach incorporates a new additional spatial variable into this model and makes it very robust, i.e. it provides a framework to price a variety of options that is closer to reality. The main topic is to present the numerical scheme arising from the concept of discontinuous Galerkin methods and applicable to the Heston option pricing model. The numerical results are presented on artificial benchmarks as well as on reference market data. © 2016 Author(s).
Czech name
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Czech description
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Project
<a href="/en/project/GA16-09541S" target="_blank" >GA16-09541S: Robust numerical schemes for pricing of selected options under various market conditions</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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