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

DOI10.1016/J.AMC.2007.05.017MaRDI QIDQ2470180zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 4033243 (Why is no real title available?)
• scientific article; zbMATH DE number 50534 (Why is no real title available?)
• scientific article; zbMATH DE number 1077323 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A numerical analysis of variational valuation techniques for derivative securities
• Finite Element Methods for Parabolic Equations
• Numerical techniques for pricing callable bonds with notice
• On the use of boundary conditions for variational formulations arising in financial mathematics.
• PDE methods for pricing barrier options
• Penalty methods for American options with stochastic volatility
• The p- and h-p versions of the finite element method. An overview
• The pricing of options and corporate liabilities
• Thep-Version of the Finite Element Method
• Two-factor convertible bonds valuation using the method of characteristics/finite elements

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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