Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing

DOI10.1016/j.amc.2007.05.017zbMath1142.91546OpenAlexW2084417923MaRDI QIDQ2470180

Stilianos Markolefas

Publication date: 13 February 2008

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2007.05.017

zbMATH Keywords

Black-Scholes equationcall optionshigh order finite elementsput optionsoption contracts pricing models

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items

Numerical treatment of stochastic models used in statistical systems and financial markets ⋮ An efficient computational algorithm for pricing European, barrier and American options

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A numerical analysis of variational valuation techniques for derivative securities
• The p- and h-p versions of the finite element method. An overview
• Two-factor convertible bonds valuation using the method of characteristics/finite elements
• Penalty methods for American options with stochastic volatility
• PDE methods for pricing barrier options
• Numerical techniques for pricing callable bonds with notice
• On the use of boundary conditions for variational formulations arising in financial mathematics.
• Thep-Version of the Finite Element Method
• Finite Element Methods for Parabolic Equations

This page was built for publication: Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing