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Titel:

A Flexible Galerkin Scheme for Option Pricing in Lévy Models

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Gaß, M.; Glau, K.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
SIAM Journal for Financial Mathematics
Journal gelistet in FT50 Ranking:
nein
Jahr:
2016
Sprache:
en
Volltext / DOI:
doi:10.1137/16M1070438
WWW:
http://arxiv.org/abs/1603.08216
Status:
Preprint / submitted
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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