Numerical valuation of options by DG method: a study of boundary condition formulation

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86099798" target="_blank" >RIV/61989100:27510/16:86099798 - isvavai.cz</a>
Alternative codes found
RIV/46747885:24510/16:00004012
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Numerical valuation of options by DG method: a study of boundary condition formulation
Original language description
Option valuation is obviously the most efficient when done analytically. However, in many cases, including most types of exotic options no closed form of the pricing formula exists. In such cases, some numerical approximation is inevitable. In our recent research we focused on discontinuous Galerkin method to numerical solution of partial differential equations. Obviously, the flexibility in terms of model assumptions and/or additional conditions 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. In this paper we study the impact of various definitions of boundary condition, in particular the Dirichlet, Neumann and transparent one. Similarly to our previous results, we use real data of DAX index options to show the differences among various specifications.
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
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

Article name in the collection
2016 13TH INTERNATIONAL CONFERENCE ON SERVICE SYSTEMS AND SERVICE MANAGEMENT
ISBN
978-1-5090-2842-9
ISSN
2161-1890
e-ISSN
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Number of pages
5
Pages from-to
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Publisher name
IEEE
Place of publication
New York
Event location
Kunming
Event date
Jun 24, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000390104400059

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