A DG Approach to the Numerical Solution of the Stein-Stein Stochastic Volatility Option Pricing Model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10240134" target="_blank" >RIV/61989100:27510/17:10240134 - isvavai.cz</a>
Alternative codes found
RIV/46747885:24510/17:00005094
Result on the web
<a href="http://dx.doi.org/10.1063/1.5013965" target="_blank" >http://dx.doi.org/10.1063/1.5013965</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1063/1.5013965" target="_blank" >10.1063/1.5013965</a>
Alternative languages
Result language
angličtina
Original language name
A DG Approach to the Numerical Solution of the Stein-Stein Stochastic Volatility Option Pricing Model
Original language description
Stochastic volatility models enable to capture the real world features of the options better than the classical Black-Scholes treatment. Here we focus on pricing of European-style options under the Stein-Stein stochastic volatility model when the option value depends on the time, on the price of the underlying asset and on the volatility as a function of a mean reverting Orstein-Uhlenbeck process. A standard mathematical approach to this model leads to the non-stationary second-order degenerate partial differential equation of two spatial variables completed by the system of boundary and terminal conditions. In order to improve the numerical valuation process for a such pricing equation, we propose a numerical technique based on the discontinuous Galerkin method and the Crank-Nicolson scheme. Finally, reference numerical experiments on real market data illustrate comprehensive empirical findings on options with stochastic volatility.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
—
OECD FORD branch
50206 - Finance
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
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
AIP Conference Proceedings. Volume 1910
ISBN
978-0-7354-1602-4
ISSN
0094-243X
e-ISSN
1551-7616
Number of pages
7
Pages from-to
—
Publisher name
American Institute of Physics
Place of publication
New York
Event location
Sozopol
Event date
Jun 8, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000423866900028