DG framework for pricing European options under one-factor stochastic volatility models

DOI10.1016/j.cam.2018.05.064zbMath1394.65099OpenAlexW2808059140WikidataQ129656319 ScholiaQ129656319MaRDI QIDQ724549

Jiří Hozman, Tomas Tichý

Publication date: 26 July 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.05.064

zbMATH Keywords

stochastic volatilityBlack-Scholes modelCrank-Nicolson schemediscontinuous Galerkin frameworkoption pricing problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Financial applications of other theories (91G80) 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) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Data driven confidence intervals for diffusion process using double smoothing empirical likelihood ⋮ DG method for pricing European options under Merton jump-diffusion model. ⋮ Option valuation under the VG process by a DG method.

Uses Software

• FreeFem++

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
• Penalty methods for American options with stochastic volatility
• Full and fast calibration of the Heston stochastic volatility model
• DG method for numerical pricing of multi-asset Asian options -- the case of options with floating strike.
• Discontinuous Galerkin Methods for Solving Elliptic and Parabolic Equations
• Variational Analysis for the Black and Scholes Equation with Stochastic Volatility
• New development in freefem++
• Discontinuous Galerkin Method
• On the impact of various formulations of the boundary condition within numerical option valuation by DG method
• A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing: A simplified approach
• Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model
• Tools for computational finance.
• Stochastic differential equations. An introduction with applications.

This page was built for publication: DG framework for pricing European options under one-factor stochastic volatility models