DG solver for one-factor and two-factor Black-Scholes models

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F16%3A00007432" target="_blank" >RIV/46747885:24510/16:00007432 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/61989100:27510/16:86099848

Výsledek na webu

<a href="https://www.ekf.vsb.cz/share/static/ekf/www.ekf.vsb.cz/export/sites/ekf/mmfr-history/.content/galerie-dokumentu/2018/Proceedings/Part_I_finalni.pdf" target="_blank" >https://www.ekf.vsb.cz/share/static/ekf/www.ekf.vsb.cz/export/sites/ekf/mmfr-history/.content/galerie-dokumentu/2018/Proceedings/Part_I_finalni.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

DG solver for one-factor and two-factor Black-Scholes models

Popis výsledku v původním jazyce

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 theta-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.

Název v anglickém jazyce

DG solver for one-factor and two-factor Black-Scholes models

Popis výsledku anglicky

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 theta-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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10102 - Applied mathematics

Projekt

<a href="/cs/project/GA16-09541S" target="_blank" >GA16-09541S: Robustní numerická schémata pro oceňování vybraných opcí za různých tržních podmínek</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

MANAGING AND MODELLING OF FINANCIAL RISKS, 8TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I & II

ISBN

978-80-248-3994-3

ISSN

2464-6970

e-ISSN

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Počet stran výsledku

10

Strana od-do

323-332

Název nakladatele

VŠB - Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

1. 1. 2016

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000495792700040