D 2013

Analysis of the Discontinuous Galerkin Method Applied to the European Option Pricing Problem

HOZMAN, Jiří

Basic information

Original name

Analysis of the Discontinuous Galerkin Method Applied to the European Option Pricing Problem

Authors

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

Edition

Melville, NY, USA, 39TH INTERNATIONAL CONFERENCE APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE13), AIP Conference Proceedings 1570, p. 227-234, 8 pp. 2013

Publisher

AMER INST PHYSICS

Other information

Language

English

Type of outcome

Proceedings paper

Field of Study

General mathematics

Country of publisher

United States of America

Confidentiality degree

is not subject to a state or trade secret

Publication form

electronic version available online

References:

RIV identification code

RIV/46747885:24510/13:#0001130

Organization

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

ISBN

978-0-7354-1198-2

ISSN

DOI

UT WoS

000346051300025

Keywords in English

Discontinuous Galerkin method; Black-Scholes equation; space semidiscretization; nonsymmetric stabilization of diffusion terms; upwinding; a priori error estimates; experimental order of convergence
Changed: 3/4/2015 10:58, Jiří Hozman

Abstract

V originále

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.