About: Black–Scholes option pricing model: Comparison of h-convergence of the DG method with respect to boundary condition treatment

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About: Black–Scholes option pricing model: Comparison of h-convergence of the DG method with respect to boundary condition treatment Goto Sponge NotDistinct Permalink

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The Black–Scholes model, despite its obvious drawbacks, can still be very useful for pricing many types of options. Moreover, in the case of many options, the Black–Scholes conditions can be utilized, but instead of a closed-form solution to the option pricing problem, a numerical approach is followed. The main goal of this paper is to analyse numerically an h-convergence of the discontinuous Galerkin (DG) method for the solution of the vanilla option pricing problem and achieve a better resolution of the influence of different boundary treatments on approximate solutions. The numerical results are presented and compared for several choices of Dirichlet, Neumann and transparent boundary conditions with respect to the order of polynomial approximation. The experiment parameters originate from real data of the German DAX index on 15 September 2011. The Black–Scholes model, despite its obvious drawbacks, can still be very useful for pricing many types of options. Moreover, in the case of many options, the Black–Scholes conditions can be utilized, but instead of a closed-form solution to the option pricing problem, a numerical approach is followed. The main goal of this paper is to analyse numerically an h-convergence of the discontinuous Galerkin (DG) method for the solution of the vanilla option pricing problem and achieve a better resolution of the influence of different boundary treatments on approximate solutions. The numerical results are presented and compared for several choices of Dirichlet, Neumann and transparent boundary conditions with respect to the order of polynomial approximation. The experiment parameters originate from real data of the German DAX index on 15 September 2011. (en)
Title	Black–Scholes option pricing model: Comparison of h-convergence of the DG method with respect to boundary condition treatment Black–Scholes option pricing model: Comparison of h-convergence of the DG method with respect to boundary condition treatment (en)
skos:prefLabel	Black–Scholes option pricing model: Comparison of h-convergence of the DG method with respect to boundary condition treatment Black–Scholes option pricing model: Comparison of h-convergence of the DG method with respect to boundary condition treatment (en)
skos:notation	RIV/61989100:27510/14:86090771!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(EE2.3.20.0296), P(GA13-13142S), S
http://linked.open...iv/cisloPeriodika	3
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Tichý, Tomáš
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	5543
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/14:86090771
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Option pricing, numerical approximation, discontinuous Galerkin method, transparent boundary condition (en)
http://linked.open.../riv/klicoveSlovo	Option pricing discontinuous Galerkin method numerical approximation transparent boundary condition
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[307F7F9F63F5]
http://linked.open...i/riv/nazevZdroje	ECON – Journal of Economic, Management and Business
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
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	24
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš Hozman, Jiří
issn	1803-3865
number of pages	12 (xsd:int)
http://localhost/t...ganizacniJednotka	27510

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