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

Crank-Nicolson schemestochastic volatilityBlack-Scholes modeldiscontinuous Galerkin frameworkoption pricing problem

Mathematics Subject Classification ID

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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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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Uses Software

• FreeFem++

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