ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING

DOI10.1142/S0219024904002669zbMath1101.91035MaRDI QIDQ4653566

Antonino Zanette, Stéphane Villeneuve, Alexandre Ern

Publication date: 7 March 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

discontinuous Galerkin methodadaptive finite elementComputational finance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

Related Items (4)

Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option ⋮ An adaptive global-local generalized FEM for multiscale advection-diffusion problems ⋮ Real options pricing by the finite element method ⋮ Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations

Cites Work

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• Semigroups of linear operators and applications to partial differential equations
• VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE
• Adaptive Finite Element Methods for Parabolic Problems I: A Linear Model Problem
• A finite element approach to the pricing of discrete lookbacks with stochastic volatility
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• Convergence of Adaptive Finite Element Methods
• Calibration of the local volatility in a trinomial tree using Tikhonov regularization

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