DG solver for one-factor and two-factor Black-Scholes models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86099848" target="_blank" >RIV/61989100:27510/16:86099848 - isvavai.cz</a>
Alternative codes found
RIV/46747885:24510/16:00007432
Result on the web
<a href="https://www.ekf.vsb.cz/export/sites/ekf/rmfr/cs/sbornik/Soubory/Part_I.pdf" target="_blank" >https://www.ekf.vsb.cz/export/sites/ekf/rmfr/cs/sbornik/Soubory/Part_I.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
DG solver for one-factor and two-factor Black-Scholes models
Original language description
Option pricing theory is a very important discipline which has a lot of applications in financial engineering. In this paper we focus on a single plain vanilla option pricing problem and its generalization for multi-asset options, especially in two dimensions. The main aim is to present a practical numerical scheme to solve a nonstationary PDE model arising from a classical Black-Scholes framework. This scheme is based on the discontinuous Galerkin (DG) approximation in spatial domain together with the -method for the time discretization, and leads to a sparse matrix system at each time level. One of the advantages of DG approach is a piecewise polynomial approximation that can better resolve possible discontinuities in solutions, the second one is a relatively easy implementation of hp-refinement. The presented DG solver is tested on several numerical benchmarks with real market data.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
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)
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Managing and Modelling of Financial Risks : proceedings of the 8th international scientific conference : September 5-6, 2016, Ostrava, Czech Republic
ISBN
978-80-248-3994-3
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
323-332
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 5, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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