About: A note on the treatment of boundary conditions for the vanilla option pricing problem discretized by DG method

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://www.ekf.vsb.cz/export/sites/ekf/rmfr/cs/sbornik/Sbornik_parts/Sbornik_I.dil.pdf
Description	The valuation of a wide range of option contracts using the different financial models has acquired increasing popularity in modern financial theory and practice. This paper is dedicated to the plain vanilla option pricing problem, driven according to the one-dimensional Black-Scholes equation, and the main attention is paid to the treatment of boundary conditions. The whole system is discretized by the discontinuous Galerkin method combined with the implicit Euler scheme for the temporal discretization. Three concepts of boundary conditions are mentioned here such as Dirichlet, Neumann and transparent boundary condition. Moreover, their influence on the approximate solution together with the localization of an underlying asset and a strike price is studied. The preliminary numerical results are presented on real data of options on German DAX index obtained for 15SEPT2011 with implied volatilities and compared for the different treatments of boundary conditions to each other. The valuation of a wide range of option contracts using the different financial models has acquired increasing popularity in modern financial theory and practice. This paper is dedicated to the plain vanilla option pricing problem, driven according to the one-dimensional Black-Scholes equation, and the main attention is paid to the treatment of boundary conditions. The whole system is discretized by the discontinuous Galerkin method combined with the implicit Euler scheme for the temporal discretization. Three concepts of boundary conditions are mentioned here such as Dirichlet, Neumann and transparent boundary condition. Moreover, their influence on the approximate solution together with the localization of an underlying asset and a strike price is studied. The preliminary numerical results are presented on real data of options on German DAX index obtained for 15SEPT2011 with implied volatilities and compared for the different treatments of boundary conditions to each other. (en)
Title	A note on the treatment of boundary conditions for the vanilla option pricing problem discretized by DG method A note on the treatment of boundary conditions for the vanilla option pricing problem discretized by DG method (en)
skos:prefLabel	A note on the treatment of boundary conditions for the vanilla option pricing problem discretized by DG method A note on the treatment of boundary conditions for the vanilla option pricing problem discretized by DG method (en)
skos:notation	RIV/46747885:24510/14:#0001180!RIV15-MSM-24510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(ED1.1.00/02.0070), P(EE2.3.20.0296), P(GA13-13142S), 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	984
http://linked.open...ai/riv/idVysledku	RIV/46747885:24510/14:#0001180
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Option; valuation; discontinuous Galerkin approach; boundary condition; implied volatility (en)
http://linked.open.../riv/klicoveSlovo	valuation Option boundary condition implied volatility discontinuous Galerkin approach
http://linked.open...ontrolniKodProRIV	[F2AFA8BC7E50]
http://linked.open...v/mistoKonaniAkce	Ostrava
http://linked.open...i/riv/mistoVydani	Ostrava
http://linked.open...i/riv/nazevZdroje	MANAGING AND MODELLING OF FINANCIAL RISKS: 7TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Research team for modelling of economic and financial processes at VSB-TU Ostrava Verification of suitability of particular Lévy models for selected issues of financial modeling IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš Hozman, Jiří
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000350605800034
http://linked.open.../riv/zahajeniAkce	2014-09-08 (xsd:date)
number of pages	9 (xsd:int)
http://purl.org/ne...btex#hasPublisher	VSB-TECH UNIV OSTRAVA
https://schema.org/isbn	9788024836317
http://localhost/t...ganizacniJednotka	24510

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