Comparison of several alternatives to numerical pricing of options

被引：0

作者：

Tichy, Tomas ^{[1
]}

Hozman, Jiri ^{[2
]}

Holcapek, Michal ^{[3
]}

Kresta, Ales ^{[1
]}

机构：

[1] VSB TU Ostrava, Fac Econ, Dept Finance, Sokolska 33, Ostrava 70121, Czech Republic

[2] Tech Univ Liberec, Fac Sci Humanities & Educ, Dept Math & Didact Math, Studentska 2, Liberec 46117, Czech Republic

[3] Univ Ostrava, Ctr Excellence IT4Innovat, Inst Res & Applicat Fuzzy Modeling, 30 Dubna 22, Ostrava, Czech Republic

来源：

FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 11TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III | 2017年

关键词：

Option pricing; BS model; numerical approximation; discontinuous Galerkin method; Fuzzy transform;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we continue in our research focused on numerical pricing of options. In particular, we discuss and evaluate Discrete Galerkin (DG) approach and Fuzzy Transform (FT) approach. We concentrate especially on some comparison. Although both methods lead to similar level of approximation, FT approach is more demanding and needs further verification.

引用

页码：851 / 856

页数：6

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