On the impact of various formulations of the boundary condition within numerical option valuation by DG method

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86099710" target="_blank" >RIV/61989100:27510/16:86099710 - isvavai.cz</a>
Alternative codes found
RIV/46747885:24510/16:00004011
Result on the web
<a href="http://dx.doi.org/10.2298/FIL1615253H" target="_blank" >http://dx.doi.org/10.2298/FIL1615253H</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.2298/FIL1615253H" target="_blank" >10.2298/FIL1615253H</a>

Result language
angličtina
Original language name
On the impact of various formulations of the boundary condition within numerical option valuation by DG method
Original language description
Options, a crucial type of financial instrument, are very challenging as concerns both, the application and valuation. A key property of (exotic) options is to provide a tool to manage the market risk coming from everyday innovations at the market. Due to the complexity of underlying processes and/or payoff functions valuation via numerical methods is often inevitable. The flexibility in terms of model assumptions often brings high time costs so that it can be useful to reduce the space on which the computation is executed in order to keep both the computation time and calculation error at acceptable levels. Efficient formulation of the boundary conditions of option valuation formula is one of such approaches. In this paper we focus on the impact of Dirichlet, Neumann and transparent boundary conditions when the valuation formula is discretized by the discontinuous Galerkin method combined with the implicit Euler scheme for the temporal discretization. The numerical results are presented using real data of DAX index options. (C) 2016, University of Nis. All rights reserved.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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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
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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