Geodesic
DG method for numerical pricing of multi-asset Asian options—the case of options with floating strike
Applications of Mathematics, Tome 62 (2017) no. 2, pp. 171-195.

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

Option pricing models are an important part of financial markets worldwide. The PDE formulation of these models leads to analytical solutions only under very strong simplifications. For more general models the option price needs to be evaluated by numerical techniques. First, based on an ideal pure diffusion process for two risky asset prices with an additional path-dependent variable for continuous arithmetic average, we present a general form of PDE for pricing of Asian option contracts on two assets. Further, we focus only on one subclass---Asian options with floating strike---and introduce the concept of the dimensionality reduction with respect to the payoff leading to PDE with two spatial variables. Then the numerical option pricing scheme arising from the discontinuous Galerkin method is developed and some theoretical results are also mentioned. Finally, the aforementioned model is supplemented with numerical results on real market data.
DOI : 10.21136/AM.2017.0273-16
Classification : 35Q91, 65M60, 91G20, 91G60, 91G80
Keywords: option pricing; discontinuous Galerkin method; path-dependent option; basket option; floating strike 
@article{10_21136_AM_2017_0273_16,
     author = {Hozman, Ji\v{r}{\'\i} and Tich\'y, Tom\'a\v{s}},
     title = {DG method for numerical pricing of multi-asset {Asian} options{\textemdash}the case of options with floating strike},
     journal = {Applications of Mathematics},
     pages = {171--195},
     publisher = {mathdoc},
     volume = {62},
     number = {2},
     year = {2017},
     doi = {10.21136/AM.2017.0273-16},
     mrnumber = {3649516},
     zbl = {06738487},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.21136/AM.2017.0273-16/}
}
TY  - JOUR
AU  - Hozman, Jiří
AU  - Tichý, Tomáš
TI  - DG method for numerical pricing of multi-asset Asian options—the case of options with floating strike
JO  - Applications of Mathematics
PY  - 2017
SP  - 171
EP  - 195
VL  - 62
IS  - 2
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.21136/AM.2017.0273-16/
DO  - 10.21136/AM.2017.0273-16
LA  - en
ID  - 10_21136_AM_2017_0273_16
ER  - 
%0 Journal Article
%A Hozman, Jiří
%A Tichý, Tomáš
%T DG method for numerical pricing of multi-asset Asian options—the case of options with floating strike
%J Applications of Mathematics
%D 2017
%P 171-195
%V 62
%N 2
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.21136/AM.2017.0273-16/
%R 10.21136/AM.2017.0273-16
%G en
%F 10_21136_AM_2017_0273_16
Hozman, Jiří; Tichý, Tomáš. DG method for numerical pricing of multi-asset Asian options—the case of options with floating strike. Applications of Mathematics, Tome 62 (2017) no. 2, pp. 171-195. doi : 10.21136/AM.2017.0273-16. http://geodesic.mathdoc.fr/articles/10.21136/AM.2017.0273-16/

Cité par Sources :