Option pricing using the discontinuous Galerkin method for time integration
نویسنده
چکیده
The discontinuous Galerkin (dG) method for time integration of the parabolic problem obtained when pricing options using the BlackScholes partial di↵erential equation is presented. By decoupling of the large system of equations needed to be solved in each time step, the time of computation and memory requirement is significantly reduced. Even though there is a discontinuity in the first derivative of the initial condition, numerical experiments show convergence of order 2r + 1 in time, where r is the order of the approximating polynomials in the dG method.
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Discontinuous Galerkin method for numerical solution of exotic option pricing model
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