DG framework for pricing European options under one-factor stochastic volatility models
DOI10.1016/J.CAM.2018.05.064zbMATH Open1394.65099OpenAlexW2808059140WikidataQ129656319 ScholiaQ129656319MaRDI QIDQ724549FDOQ724549
Authors: Jiří Hozman, Tomáš Tichý 
Publication date: 26 July 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2018.05.064
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Crank-Nicolson schemestochastic volatilityBlack-Scholes modeldiscontinuous Galerkin frameworkoption pricing problem
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Financial applications of other theories (91G80)
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- A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model
Cited In (4)
- DG method for pricing European options under Merton jump-diffusion model.
- Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
- On the impact of various formulations of the boundary condition within numerical option valuation by dg method
- Option valuation under the VG process by a DG method.
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