Option valuation under the VG process by a DG method.

DOI10.21136/AM.2021.0345-20MaRDI QIDQ2058996zbMATH OpenFDO

Authors Jiří Hozman, Tomáš Tichý

Publication date 10 December 2021

Published in Applications of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.21136/AM.2021.0345-20

zbMATH Keywords

American style optionsdiscontinuous Galerkin methodintegro-differential equationoption pricingsemi-implicit discretizationvariance gamma process

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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Cited in

(3)

• Pricing European and American options under Heston model using discontinuous Galerkin finite elements
• DG method for pricing European options under Merton jump-diffusion model.
• Generalized replicator dynamics based on mean-field pairwise comparison dynamic

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