A modification of Galerkin's method for option pricing

DOI10.3934/jimo.2021077OpenAlexW3154129941MaRDI QIDQ2086928

Mikhail Dokuchaev, Guanglu Zhou, Songgui Wang

Publication date: 26 October 2022

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2021077

zbMATH Keywords

convergenceGalerkin's methodparabolic equationsEuropean optionsnon-constant volatility

Mathematics Subject Classification ID

Nonlinear programming (90C30) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Eigenvalues, singular values, and eigenvectors (15A18)

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Cites Work

• Pricing American bond options using a penalty method
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• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
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• RELAXATION METHODS APPLIED TO DETERMINE THE MOTION, IN TWO DIMENSIONS, OF A VISCOUS FLUID PAST A FIXED CYLINDER
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