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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Gaß, M.; Glau, K. 
Titel:
A Flexible Galerkin Scheme for Option Pricing in Lévy Models 
Abstract:
One popular approach to option pricing in Lévy models is through solving the related partial integro differential equation (PIDE). For the numerical solution of such equations powerful Galerkin methods have been put forward e.g. by Hilber et al. (2013). As in practice large classes of models are maintained simultaneously, flexibility in the driving Lévy model is crucial for the implementation of these powerful tools. In this article we provide such a flexible finite element Galerkin method. To t...    »
 
Zeitschriftentitel:
Working Paper 
Jahr:
2016 
Sprache:
en 
Status:
Preprint / submitted 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik