On the impact of various formulations of the boundary condition within numerical option valuation by DG method

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86099710" target="_blank" >RIV/61989100:27510/16:86099710 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/46747885:24510/16:00004011

Výsledek na webu

<a href="http://dx.doi.org/10.2298/FIL1615253H" target="_blank" >http://dx.doi.org/10.2298/FIL1615253H</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.2298/FIL1615253H" target="_blank" >10.2298/FIL1615253H</a>

Jazyk výsledku

angličtina

Název v původním jazyce

On the impact of various formulations of the boundary condition within numerical option valuation by DG method

Popis výsledku v původním jazyce

Options, a crucial type of financial instrument, are very challenging as concerns both, the application and valuation. A key property of (exotic) options is to provide a tool to manage the market risk coming from everyday innovations at the market. Due to the complexity of underlying processes and/or payoff functions valuation via numerical methods is often inevitable. The flexibility in terms of model assumptions often brings high time costs so that it can be useful to reduce the space on which the computation is executed in order to keep both the computation time and calculation error at acceptable levels. Efficient formulation of the boundary conditions of option valuation formula is one of such approaches. In this paper we focus on the impact of Dirichlet, Neumann and transparent boundary conditions when the valuation formula is discretized by the discontinuous Galerkin method combined with the implicit Euler scheme for the temporal discretization. The numerical results are presented using real data of DAX index options. (C) 2016, University of Nis. All rights reserved.

Název v anglickém jazyce

On the impact of various formulations of the boundary condition within numerical option valuation by DG method

Popis výsledku anglicky

Options, a crucial type of financial instrument, are very challenging as concerns both, the application and valuation. A key property of (exotic) options is to provide a tool to manage the market risk coming from everyday innovations at the market. Due to the complexity of underlying processes and/or payoff functions valuation via numerical methods is often inevitable. The flexibility in terms of model assumptions often brings high time costs so that it can be useful to reduce the space on which the computation is executed in order to keep both the computation time and calculation error at acceptable levels. Efficient formulation of the boundary conditions of option valuation formula is one of such approaches. In this paper we focus on the impact of Dirichlet, Neumann and transparent boundary conditions when the valuation formula is discretized by the discontinuous Galerkin method combined with the implicit Euler scheme for the temporal discretization. The numerical results are presented using real data of DAX index options. (C) 2016, University of Nis. All rights reserved.

Druh

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

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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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 periodika

Filomat

ISSN

0354-5180

e-ISSN

—

Svazek periodika

30

Číslo periodika v rámci svazku

15

Stát vydavatele periodika

RS - Srbská republika

Počet stran výsledku

11

Strana od-do

4253-4263

Kód UT WoS článku

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EID výsledku v databázi Scopus

2-s2.0-85010888062