DG method for pricing European options under Merton jump-diffusion model.

DOI10.21136/AM.2019.0305-18MaRDI QIDQ2280454

Miloslav Vlasák, Jiří Hozman, Tomas Tichý

Publication date: 18 December 2019

Published in: Applications of Mathematics (Search for Journal in Brave)

zbMATH Keywords

option pricingdiscontinuous Galerkin methodintegro-differential equationa priori error estimatessemi-implicit discretizationMerton jump-diffusion model

Mathematics Subject Classification ID

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)

Related Items (3)

Numerical valuation of European and American options under Merton's model ⋮ Unified error analysis of discontinuous Galerkin methods for parabolic obstacle problem. ⋮ Option valuation under the VG process by a DG method.

Uses Software

• FreeFem++

Cites Work

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