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Statements

Subject Item
n2:RIV%2F46747885%3A24510%2F13%3A%230001130%21RIV15-MSM-24510___
rdf:type
skos:Concept n21:Vysledek
rdfs:seeAlso
http://dx.doi.org/10.1063/1.4854760
dcterms: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.
dcterms: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
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
skos:notation
RIV/46747885:24510/13:#0001130!RIV15-MSM-24510___
n3:aktivita
n18:S
n3:aktivity
S
n3:dodaniDat
n4:2015
n3:domaciTvurceVysledku
n10:1919032
n3:druhVysledku
n11:D
n3:duvernostUdaju
n16:S
n3:entitaPredkladatele
n17:predkladatel
n3:idSjednocenehoVysledku
60673
n3:idVysledku
RIV/46747885:24510/13:#0001130
n3:jazykVysledku
n5:eng
n3:klicovaSlova
Discontinuous Galerkin method; Black-Scholes equation; space semidiscretization; nonsymmetric stabilization of diffusion terms; upwinding; a priori error estimates; experimental order of convergence
n3:klicoveSlovo
n6:nonsymmetric%20stabilization%20of%20diffusion%20terms n6:space%20semidiscretization n6:upwinding n6:Black-Scholes%20equation n6:a%20priori%20error%20estimates n6:Discontinuous%20Galerkin%20method n6:experimental%20order%20of%20convergence
n3:kontrolniKodProRIV
[DDA1C4E466B7]
n3:mistoKonaniAkce
Sozopol, Bulgaria
n3:mistoVydani
Melville, NY, USA
n3:nazevZdroje
39TH INTERNATIONAL CONFERENCE APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE13), AIP Conference Proceedings 1570
n3:obor
n20:BA
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:rokUplatneniVysledku
n4:2013
n3:tvurceVysledku
Hozman, Jiří
n3:typAkce
n12:WRD
n3:wos
000346051300025
n3:zahajeniAkce
2013-06-08+02:00
s:issn
0094-243X
s:numberOfPages
8
n7:doi
10.1063/1.4854760
n19:hasPublisher
AMER INST PHYSICS
n15:isbn
9780735411982
n9:organizacniJednotka
24510