A note on the treatment of boundary conditions for the vanilla option pricing problem discretized by DG method

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090777" target="_blank" >RIV/61989100:27510/14:86090777 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/46747885:24510/14:#0001180

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

A note on the treatment of boundary conditions for the vanilla option pricing problem discretized by DG method

Popis výsledku v původním jazyce

The valuation of a wide range of option contracts using the different financial models has acquired increasing popularity in modern financial theory and practice. This paper is dedicated to the plain vanilla option pricing problem, driven according to the one-dimensional Black- Scholes equation, and the main attention is paid to the treatment of boundary conditions. The whole system is discretized by the discontinuous Galerkin method combined with the implicit Euler scheme for the temporal discretization. Three concepts of boundary conditions are mentioned here such as Dirichlet, Neumann and transparent boundary condition. Moreover, their influence on the approximate solution together with the localization of an underlying asset and a strike price is studied. The preliminary numerical results are presented on real data of options on German DAX index obtained for 15SEPT2011 with implied volatilities and compared for the different treatments of boundary conditions to each other.

Název v anglickém jazyce

A note on the treatment of boundary conditions for the vanilla option pricing problem discretized by DG method

Popis výsledku anglicky

The valuation of a wide range of option contracts using the different financial models has acquired increasing popularity in modern financial theory and practice. This paper is dedicated to the plain vanilla option pricing problem, driven according to the one-dimensional Black- Scholes equation, and the main attention is paid to the treatment of boundary conditions. The whole system is discretized by the discontinuous Galerkin method combined with the implicit Euler scheme for the temporal discretization. Three concepts of boundary conditions are mentioned here such as Dirichlet, Neumann and transparent boundary condition. Moreover, their influence on the approximate solution together with the localization of an underlying asset and a strike price is studied. The preliminary numerical results are presented on real data of options on German DAX index obtained for 15SEPT2011 with implied volatilities and compared for the different treatments of boundary conditions to each other.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

—

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 statě ve sborníku

Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]

ISBN

978-80-248-3631-7

ISSN

—

e-ISSN

—

Počet stran výsledku

9

Strana od-do

282-290

Název nakladatele

VŠB-Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

8. 9. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

—