Numerical pricing of European basket options with discrete barrier via the discontinuous Galerkin method

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F16%3A00004020" target="_blank" >RIV/46747885:24510/16:00004020 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Numerical pricing of European basket options with discrete barrier via the discontinuous Galerkin method

Popis výsledku v původním jazyce

This paper extends the results from the authors' previous research on a single plain vanilla option pricing problem by discontinuous Galerkin method. By contrast, we focus here on options, whose payoff depends on two distinct sources of randomness and is conditional on a barrier activating at discrete time moments. The developed numerical scheme for pricing of such options is based on the discontinuous Galerkin method, which is a suitable tool for the analysis of a priori discontinuities in the solution due to the discrete monitoring. Several barriers are discussed and the resulting algorithm is verified on experiments with real market data. The first author acknowledges support provided within SGS Project: Modern numerical methods III, financed by TU Liberec. However, the student's involvement in the composition of this article was not high, so her name is not listed in the team of authors.

Název v anglickém jazyce

Numerical pricing of European basket options with discrete barrier via the discontinuous Galerkin method

Popis výsledku anglicky

This paper extends the results from the authors' previous research on a single plain vanilla option pricing problem by discontinuous Galerkin method. By contrast, we focus here on options, whose payoff depends on two distinct sources of randomness and is conditional on a barrier activating at discrete time moments. The developed numerical scheme for pricing of such options is based on the discontinuous Galerkin method, which is a suitable tool for the analysis of a priori discontinuities in the solution due to the discrete monitoring. Several barriers are discussed and the resulting algorithm is verified on experiments with real market data. The first author acknowledges support provided within SGS Project: Modern numerical methods III, financed by TU Liberec. However, the student's involvement in the composition of this article was not high, so her name is not listed in the team of authors.

Druh

D - Stať ve sborníku

CEP obor

BA - Obecná matematika

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 10TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-IV

ISBN

978-80-248-3865-6

ISSN

2336-162X

e-ISSN

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Počet stran výsledku

11

Strana od-do

385-395

Název nakladatele

VSB TU Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

1. 1. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000376799500044