Option valuation under the VG process by a DG method.
DOI10.21136/AM.2021.0345-20MaRDI QIDQ2058996
Publication date: 10 December 2021
Published in: Applications of Mathematics (Search for Journal in Brave)
option pricingdiscontinuous Galerkin methodintegro-differential equationvariance gamma processsemi-implicit discretizationAmerican style options
Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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