DG method for numerical pricing of multi-asset Asian options - A case of options with floating strike

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dc.contributor.authorHozman Jiřícs
dc.contributor.authorTichý Tomášcs
dc.date.accessioned2018-09-25T12:17:06Z
dc.date.available2018-09-25T12:17:06Z
dc.date.issued2017cs
dc.description.abstractOption 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.en
dc.format.extent25cs
dc.identifier.doi10.21136/AM.2017.0273-16
dc.identifier.issn0862-7940cs
dc.identifier.urihttps://dspace.tul.cz/handle/15240/31619
dc.identifier.urihttp://am.math.cas.cz/full/62/2/am62_2_5.pdf
dc.language.isoengcs
dc.publisherInstitute of Mathematics of the Academy of Sciences of the Czech Republiccs
dc.publisher.cityPrahacs
dc.relation.ispartofseries1cs
dc.relation.urihttp://articles.math.cas.cz/10.21136/AM.2017.0273-16/?type=Fcs
dc.subjectoption pricingcs
dc.subjectdiscontinuous Galerkin methodcs
dc.subjectpath-dependent optioncs
dc.subjectbasket optioncs
dc.subjectfloating strikecs
dc.titleDG method for numerical pricing of multi-asset Asian options - A case of options with floating strikeen
local.citation.epage171-195cs
local.citation.spage171-195cs
local.identifier.publikace5083
local.identifier.wok411068700002en
local.relation.issue2cs
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