DG framework for pricing European options under one-factor stochastic volatility models

DOI10.1016/J.CAM.2018.05.064MaRDI QIDQ724549zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

Black-Scholes modelCrank-Nicolson schemediscontinuous Galerkin frameworkoption pricing problemstochastic volatility

Mathematics Subject Classification ID

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) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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Cites work

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• New development in freefem++
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Cited in

(6)

• Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
• Option valuation under the VG process by a DG method.
• DG method for pricing European options under Merton jump-diffusion model.
• On the impact of various formulations of the boundary condition within numerical option valuation by dg method
• On a non-standard two-species stochastic competing system and a related degenerate parabolic equation
• Orthogonal wavelet method for multi-stage expansion and contraction options under stochastic volatility

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Uses Software

• FreeFem++

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