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Title:

A Flexible Galerkin Scheme for Option Pricing in Lévy Models

Document type:
Zeitschriftenaufsatz
Author(s):
Gaß, M.; Glau, K.
Non-TUM Co-author(s):
nein
Cooperation:
-
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
Journal title:
SIAM Journal for Financial Mathematics
Journal listet in FT50 ranking:
nein
Year:
2016
Language:
en
Fulltext / DOI:
doi:10.1137/16M1070438
WWW:
http://arxiv.org/abs/1603.08216
Status:
Preprint / submitted
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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