A discontinuous Galerkin method for two-dimensional PDE models of Asian options

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86098329" target="_blank" >RIV/61989100:27510/16:86098329 - isvavai.cz</a>
Alternative codes found
RIV/46747885:24510/16:00004017
Result on the web
<a href="http://dx.doi.org/10.1063/1.4951846" target="_blank" >http://dx.doi.org/10.1063/1.4951846</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1063/1.4951846" target="_blank" >10.1063/1.4951846</a>

Result language
angličtina
Original language name
A discontinuous Galerkin method for two-dimensional PDE models of Asian options
Original language description
In our previous research we have focused on the problem of plain vanilla option valuation using discontinuous Galerkin method for numerical PDE solution. Here we extend a simple one-dimensional problem into two-dimensional one and design a scheme for valuation of Asian options, i.e. options with payoff depending on the average of prices collected over prespecified horizon. The algorithm is based on the approach combining the advantages of the finite element methods together with the piecewise polynomial generally discontinuous approximations. Finally, an illustrative example using DAX option market data is provided. (C) 2016 Author(s).
Czech name
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Czech description
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Project
<a href="/en/project/GA13-13142S" target="_blank" >GA13-13142S: Verification of suitability of particular Lévy models for selected issues of financial modeling</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

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

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