DG method for numerical pricing of multi-asset Asian options – A case of options with floating strike

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F17%3A00005083" target="_blank" >RIV/46747885:24510/17:00005083 - isvavai.cz</a>

Výsledek na webu

<a href="http://articles.math.cas.cz/10.21136/AM.2017.0273-16/?type=F" target="_blank" >http://articles.math.cas.cz/10.21136/AM.2017.0273-16/?type=F</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>

Jazyk výsledku

angličtina

Název v původním jazyce

DG method for numerical pricing of multi-asset Asian options – A case of options with floating strike

Popis výsledku v původním jazyce

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 numerical 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 spatial 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.

Název v anglickém jazyce

DG method for numerical pricing of multi-asset Asian options – A case of options with floating strike

Popis výsledku anglicky

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 numerical 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 spatial 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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

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

2017

Kód důvěrnosti údajů

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

Název periodika

Applications of Mathematics

ISSN

0862-7940

e-ISSN

—

Svazek periodika

62

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

25

Strana od-do

171-195

Kód UT WoS článku

000411068700002

EID výsledku v databázi Scopus

2-s2.0-85027855972