Pricing European and American options under Heston model using discontinuous Galerkin finite elements
Yazarlar (3)
Sinem Kozpınar Middle East Technical University (Metu), Türkiye
Prof. Dr. Murat UZUNCA Sinop Üniversitesi, Türkiye
Bülent Karasözen
Middle East Technical University (Metu), Türkiye
Middle East Technical University (Metu), Türkiye
| Makale Türü | Özgün Makale (SSCI, AHCI, SCI, SCI-Exp dergilerinde yayınlanan tam makale) | ||
| Dergi Adı | Mathematics and Computers in Simulation (Q1) | ||
| Dergi ISSN | 0378-4754 Dergi Bilgileri (2020) | ||
| Dergi Tarandığı Indeksler | SCI-Expanded | ||
| Makale Dili | İngilizce | Basım Tarihi | 11-2020 |
| Cilt / Sayı / Sayfa | 177 / 1 / 568–587 | DOI | 10.1016/j.matcom.2020.05.022 |
| Makale Linki | https://linkinghub.elsevier.com/retrieve/pii/S0378475420301816 | ||
| UAK Araştırma Alanları |
Uygulamalı Matematik
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| Özet |
| This paper deals with pricing of European and American options, when the underlying asset price follows Heston model, via the interior penalty discontinuous Galerkin finite element method (dGFEM). The advantages of dGFEM space discretization with Rannacher smoothing as time integrator with nonsmooth initial and boundary conditions are illustrated for European vanilla options, digital call and American put options. The convection dominated Heston model for vanishing volatility is efficiently solved utilizing the adaptive dGFEM. For fast solution of the linear complementary problem of the American options, a projected successive over relaxation (PSOR) method is developed with the norm preconditioned dGFEM. We show the efficiency and accuracy of dGFEM for option pricing by conducting comparison analysis with other methods and numerical experiments. |
| Anahtar Kelimeler |
| American option | Discontinuous Galerkin method | European option | Heston model | Preconditioning | Rannacher smoothing |
Science Direct
Pricing European and American options under Heston model using discontinuous Galerkin finite elements
BM Sürdürülebilir Kalkınma Amaçları
| Atıf Sayıları | |
| Web of Science | 14 |
| Scopus | 15 |
| Google Scholar | 20 |