About: Analysis of the Discontinuous Galerkin Method Applied to the European Option Pricing Problem

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://dx.doi.org/10.1063/1.4854760
Description	In this paper we deal with a numerical solution of a one-dimensional Black-Scholes partial differential equation, an important scalar nonstationary linear convection-diffusion-reaction equation describing the pricing of European vanilla options. We present a derivation of the numerical scheme based on the space semidiscretization of the model problem by the discontinuous Galerkin method with nonsymmetric stabilization of diffusion terms and with the interior and boundary penalty. The main attention is paid to the investigation of a priori error estimates for the proposed scheme. The appended numerical experiments illustrate the theoretical results and the potency of the method, consequently. In this paper we deal with a numerical solution of a one-dimensional Black-Scholes partial differential equation, an important scalar nonstationary linear convection-diffusion-reaction equation describing the pricing of European vanilla options. We present a derivation of the numerical scheme based on the space semidiscretization of the model problem by the discontinuous Galerkin method with nonsymmetric stabilization of diffusion terms and with the interior and boundary penalty. The main attention is paid to the investigation of a priori error estimates for the proposed scheme. The appended numerical experiments illustrate the theoretical results and the potency of the method, consequently. (en)
Title	Analysis of the Discontinuous Galerkin Method Applied to the European Option Pricing Problem Analysis of the Discontinuous Galerkin Method Applied to the European Option Pricing Problem (en)
skos:prefLabel	Analysis of the Discontinuous Galerkin Method Applied to the European Option Pricing Problem Analysis of the Discontinuous Galerkin Method Applied to the European Option Pricing Problem (en)
skos:notation	RIV/46747885:24510/13:#0001130!RIV15-MSM-24510___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Hozman, Jiří
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Technická univerzita v Liberci / Fakulta přírodovědně-humanitní a pedagogická
http://linked.open...dnocenehoVysledku	60673
http://linked.open...ai/riv/idVysledku	RIV/46747885:24510/13:#0001130
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Discontinuous Galerkin method; Black-Scholes equation; space semidiscretization; nonsymmetric stabilization of diffusion terms; upwinding; a priori error estimates; experimental order of convergence (en)
http://linked.open.../riv/klicoveSlovo	experimental order of convergence Black-Scholes equation nonsymmetric stabilization of diffusion terms space semidiscretization upwinding Discontinuous Galerkin method a priori error estimates
http://linked.open...ontrolniKodProRIV	[DDA1C4E466B7]
http://linked.open...v/mistoKonaniAkce	Sozopol, Bulgaria
http://linked.open...i/riv/mistoVydani	Melville, NY, USA
http://linked.open...i/riv/nazevZdroje	39TH INTERNATIONAL CONFERENCE APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE13), AIP Conference Proceedings 1570
http://linked.open...in/vavai/riv/obor	BA
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2013
http://linked.open...iv/tvurceVysledku	Hozman, Jiří
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open...ain/vavai/riv/wos	000346051300025
http://linked.open.../riv/zahajeniAkce	2013-06-08 (xsd:date)
issn	0094-243X
number of pages	8 (xsd:int)
http://bibframe.org/vocab/doi	10.1063/1.4854760
http://purl.org/ne...btex#hasPublisher	AMER INST PHYSICS
https://schema.org/isbn	9780735411982
http://localhost/t...ganizacniJednotka	24510

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