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Statements

Subject Item
n2:RIV%2F46747885%3A24510%2F14%3A%230001180%21RIV15-MSM-24510___
rdf:type
skos:Concept n18:Vysledek
rdfs:seeAlso
http://www.ekf.vsb.cz/export/sites/ekf/rmfr/cs/sbornik/Sbornik_parts/Sbornik_I.dil.pdf
dcterms: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.
dcterms: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
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
skos:notation
RIV/46747885:24510/14:#0001180!RIV15-MSM-24510___
n5:aktivita
n6:S n6:P
n5:aktivity
P(ED1.1.00/02.0070), P(EE2.3.20.0296), P(GA13-13142S), S
n5:dodaniDat
n10:2015
n5:domaciTvurceVysledku
n21:1919032
n5:druhVysledku
n19:D
n5:duvernostUdaju
n14:S
n5:entitaPredkladatele
n17:predkladatel
n5:idSjednocenehoVysledku
984
n5:idVysledku
RIV/46747885:24510/14:#0001180
n5:jazykVysledku
n16:eng
n5:klicovaSlova
Option; valuation; discontinuous Galerkin approach; boundary condition; implied volatility
n5:klicoveSlovo
n7:valuation n7:boundary%20condition n7:Option n7:implied%20volatility n7:discontinuous%20Galerkin%20approach
n5:kontrolniKodProRIV
[F2AFA8BC7E50]
n5:mistoKonaniAkce
Ostrava
n5:mistoVydani
Ostrava
n5:nazevZdroje
MANAGING AND MODELLING OF FINANCIAL RISKS: 7TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III
n5:obor
n12:AH
n5:pocetDomacichTvurcuVysledku
1
n5:pocetTvurcuVysledku
2
n5:projekt
n9:ED1.1.00%2F02.0070 n9:GA13-13142S n9:EE2.3.20.0296
n5:rokUplatneniVysledku
n10:2014
n5:tvurceVysledku
Hozman, Jiří Tichý, Tomáš
n5:typAkce
n8:EUR
n5:wos
000350605800034
n5:zahajeniAkce
2014-09-08+02:00
s:numberOfPages
9
n20:hasPublisher
VSB-TECH UNIV OSTRAVA
n13:isbn
9788024836317
n4:organizacniJednotka
24510