DG METHOD FOR NUMERICAL PRICING OF MULTI-ASSET ASIAN OPTIONS—THE CASE OF OPTIONS WITH FLOATING STRIKE

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10236824" target="_blank" >RIV/61989100:27510/17:10236824 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.21136/AM.2017.0273-16" target="_blank" >http://dx.doi.org/10.21136/AM.2017.0273-16</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.21136/AM.2017.0273-16" target="_blank" >10.21136/AM.2017.0273-16</a>

Result language

angličtina

Original language name

DG METHOD FOR NUMERICAL PRICING OF MULTI-ASSET ASIAN OPTIONS—THE CASE OF OPTIONS WITH FLOATING STRIKE

Original language description

Option pricing models are an important part of financial markets worldwide. The PDE formulation of these models leads to analytical solutions only under very strong simplifications. For more general models the option price needs to be evaluated by numer- ical techniques. First, based on an ideal pure diffusion process for two risky asset prices with an additional path-dependent variable for continuous arithmetic average, we present a general form of PDE for pricing of Asian option contracts on two assets. Further, we focus only on one subclass—Asian options with floating strike—and introduce the concept of the dimensionality reduction with respect to the payoff leading to PDE with two spa- tial variables. Then the numerical option pricing scheme arising from the discontinuous Galerkin method is developed and some theoretical results are also mentioned. Finally, the aforementioned model is supplemented with numerical results on real market data.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

50206 - Finance

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

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Applications of Mathematics

ISSN

0862-7940

e-ISSN

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Volume of the periodical

62

Issue of the periodical within the volume

2

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

25

Pages from-to

171-195

UT code for WoS article

000411068700002

EID of the result in the Scopus database

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