D 2013

Valuing barrier options using the adaptive discontinuous Galerkin method

HOZMAN, Jiří

Basic information

Original name

Valuing barrier options using the adaptive discontinuous Galerkin method

Authors

HOZMAN, Jiří (203 Czech Republic, guarantor, belonging to the institution)

Edition

Praha, PROGRAMS AND ALGORITHMS OF NUMERICAL MATHEMATICS 16, p. 94-99, 6 pp. 2013

Publisher

Institute of Mathematics, Academy of Sciences of the Czech Republic

Other information

Language

English

Type of outcome

Proceedings paper

Field of Study

General mathematics

Confidentiality degree

is not subject to a state or trade secret

Publication form

printed version "print"

References:

RIV identification code

RIV/46747885:24510/13:#0000998

Organization

Faculty of Science, Humanities and Education – Technical University of Liberec – Repository

ISBN

978-80-85823-62-2

UT WoS

000317994100015

Keywords in English

mesh adaptation.

Links

EE2.3.09.0155, research and development project.
Changed: 30/3/2015 09:56, Jiří Hozman

Abstract

V originále

This paper is devoted to barrier options and the main objective is to develop a sufficiently robust, accurate and efficient method for computation of their values driven according to the well-known Black-Scholes equation. The main idea is based on the discontinuous Galerkin method together with a spatial adaptive approach. This combination seems to be a promising technique for the solving of such problems with discontinuous solutions as well as for consequent optimization of the number of degrees of freedom and computational cost. The appended numerical experiment illustrates the potency of the proposed numerical scheme.