On the impact of various formulations of the boundary condition within numerical option valuation by DG method

DOI10.2298/FIL1615253HzbMath1461.91351OpenAlexW2609632747MaRDI QIDQ5279710

Tomas Tichý, Jiří Hozman

Publication date: 19 July 2017

Published in: Filomat (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2298/fil1615253h

zbMATH Keywords

optionboundary conditionvaluationdiscontinuous Galerkin approach

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Related Items (4)

Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM ⋮ DG method for pricing European options under Merton jump-diffusion model. ⋮ DG framework for pricing European options under one-factor stochastic volatility models ⋮ Option valuation under the VG process by a DG method.

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