Comparison of several modern numerical methods for option pricing
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F18%3A10242149" target="_blank" >RIV/61989100:27510/18:10242149 - isvavai.cz</a>
Výsledek na webu
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DOI - Digital Object Identifier
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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Comparison of several modern numerical methods for option pricing
Popis výsledku v původním jazyce
Option pricing is a popular problem of financial mathematics and optimization due to the non-linearity in the option pay-off function and enormous sensitivity to the selection of underlying processes and input parameters. This aspect differentiates options from other derivatives. Since pricing and hedging of plain vanilla options under the conditions of Gaussian distribution (or a so called Black-Scholes model) is already well documented, it commonly serves as a benchmark for developing of new approaches and methods, which, in fact, aims on options with more complex payoffs (exotic options) and/or probability distributions that fit empirical observations about the market prices better, but for which no analytical formula is available.Obviously, being able to compare the results of the novel model with theoretically correct one is a crucial step of model testing. In this contribution we focus on numerical pricing of options. We first review well known approaches and subsequently we analyze three novel approaches, discontinuous Galerkin approach, wavelet approach and fuzzy transform technique. Extensive comparative study for various input data and pay-off functions is provided.
Název v anglickém jazyce
Comparison of several modern numerical methods for option pricing
Popis výsledku anglicky
Option pricing is a popular problem of financial mathematics and optimization due to the non-linearity in the option pay-off function and enormous sensitivity to the selection of underlying processes and input parameters. This aspect differentiates options from other derivatives. Since pricing and hedging of plain vanilla options under the conditions of Gaussian distribution (or a so called Black-Scholes model) is already well documented, it commonly serves as a benchmark for developing of new approaches and methods, which, in fact, aims on options with more complex payoffs (exotic options) and/or probability distributions that fit empirical observations about the market prices better, but for which no analytical formula is available.Obviously, being able to compare the results of the novel model with theoretically correct one is a crucial step of model testing. In this contribution we focus on numerical pricing of options. We first review well known approaches and subsequently we analyze three novel approaches, discontinuous Galerkin approach, wavelet approach and fuzzy transform technique. Extensive comparative study for various input data and pay-off functions is provided.
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
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OECD FORD obor
50200 - Economics and Business
Návaznosti výsledku
Projekt
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Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2018
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název statě ve sborníku
Mathematical Methods in Economics : MME 2018 : 36th international conference : September 12-14, 2018, Jindřichův Hradec
ISBN
978-80-7378-371-6
ISSN
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e-ISSN
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Počet stran výsledku
4
Strana od-do
591-594
Název nakladatele
MATFYZPRESS
Místo vydání
Praha
Místo konání akce
Jindřichův Hradec
Datum konání akce
12. 9. 2018
Typ akce podle státní příslušnosti
WRD - Celosvětová akce
Kód UT WoS článku
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