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

DOI10.1016/J.AMC.2007.05.017zbMATH Open1142.91546OpenAlexW2084417923MaRDI QIDQ2470180FDOQ2470180

Authors: 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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
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• The p- and h-p versions of the finite element method. An overview
• Title not available (Why is that?)
• Penalty methods for American options with stochastic volatility
• Numerical techniques for pricing callable bonds with notice
• Thep-Version of the Finite Element Method
• Two-factor convertible bonds valuation using the method of characteristics/finite elements
• PDE methods for pricing barrier options
• On the use of boundary conditions for variational formulations arising in financial mathematics.
• A numerical analysis of variational valuation techniques for derivative securities
• Finite Element Methods for Parabolic Equations

Cited In (4)

• Numerical treatment of stochastic models used in statistical systems and financial markets
• A Flexible Galerkin Scheme for Option Pricing in Lévy Models
• An efficient computational algorithm for pricing European, barrier and American options
• Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff

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