Previous |  Up |  Next


Title: Valuing barrier options using the adaptive discontinuous Galerkin method (English)
Author: Hozman, Jiří
Language: English
Journal: Programs and Algorithms of Numerical Mathematics
Volume: Proceedings of Seminar. Dolní Maxov, June 3-8, 2012
Issue: 2012
Pages: 94-99
Category: math
Summary: This paper is devoted to barrier options and the main objective is to develop a sufficiently robust, accurate and efficient method for computation of their values driven according to the well-known Black-Scholes equation. The main idea is based on the discontinuous Galerkin method together with a spatial adaptive approach. This combination seems to be a promising technique for the solving of such problems with discontinuous solutions as well as for consequent optimization of the number of degrees of freedom and computational cost. The appended numerical experiment illustrates the potency of the proposed numerical scheme. (English)
Keyword: Black-Scholes equation
Keyword: barrier options
Keyword: discontinuous Galerkin method
Keyword: spatial adaptivity
MSC: 65M60
MSC: 91G20
MSC: 91G60
Date available: 2015-07-08T06:41:53Z
Last updated: 2015-07-08
Stable URL:


Files Size Format View
PANM_16-2012-1_17.pdf 251.0Kb application/pdf View/Open
Back to standard record
Partner of
EuDML logo