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
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
RIV identification code
RIV/46747885:24510/13:#0001130
Organization
Faculty of Science, Humanities and Education – Technical University of Liberec – Repository
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
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.
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