DG method for pricing European options under Merton jump-diffusion model.
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Publication:2280454
a priori error estimatesdiscontinuous Galerkin methodintegro-differential equationMerton jump-diffusion modeloption pricingsemi-implicit discretization
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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Cites work
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Cited in
(5)- Unified error analysis of discontinuous Galerkin methods for parabolic obstacle problem.
- Option valuation under the VG process by a DG method.
- Numerical valuation of European and American options under Merton's model
- Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment
- An efficient weak Galerkin finite element method for generalized Black–Scholes PDEs modelling option pricing
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