Black?Scholes option pricing model: Comparison of h-convergence of the DG method with respect to boundary condition treatment

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090771" target="_blank" >RIV/61989100:27510/14:86090771 - 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

Black?Scholes option pricing model: Comparison of h-convergence of the DG method with respect to boundary condition treatment

Popis výsledku v původním jazyce

The Black?Scholes model, despite its obvious drawbacks, can still be very useful for pricing many types of options. Moreover, in the case of many options, the Black?Scholes conditions can be utilized, but instead of a closed-form solution to the option pricing problem, a numerical approach is followed. The main goal of this paper is to analyse numerically an h-convergence of the discontinuous Galerkin (DG) method for the solution of the vanilla option pricing problem and achieve a better resolution of the influence of different boundary treatments on approximate solutions. The numerical results are presented and compared for several choices of Dirichlet, Neumann and transparent boundary conditions with respect to the order of polynomial approximation.The experiment parameters originate from real data of the German DAX index on 15 September 2011.

Název v anglickém jazyce

Black?Scholes option pricing model: Comparison of h-convergence of the DG method with respect to boundary condition treatment

Popis výsledku anglicky

The Black?Scholes model, despite its obvious drawbacks, can still be very useful for pricing many types of options. Moreover, in the case of many options, the Black?Scholes conditions can be utilized, but instead of a closed-form solution to the option pricing problem, a numerical approach is followed. The main goal of this paper is to analyse numerically an h-convergence of the discontinuous Galerkin (DG) method for the solution of the vanilla option pricing problem and achieve a better resolution of the influence of different boundary treatments on approximate solutions. The numerical results are presented and compared for several choices of Dirichlet, Neumann and transparent boundary conditions with respect to the order of polynomial approximation.The experiment parameters originate from real data of the German DAX index on 15 September 2011.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název periodika

ECON ? Journal of Economic, Management and Business

ISSN

1803-3865

e-ISSN

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Svazek periodika

24

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

12

Strana od-do

141-152

Kód UT WoS článku

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EID výsledku v databázi Scopus

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