Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing
- Author
- MARKOLEFAS, Stilianos1
[1] Department of Applied Mechanics, Faculty of Applied Mathematics and Physics, National Technical University of Athens, 9 Iroon Polytechniou, Zografou 157 73, Athens, Greece - Source
Applied mathematics and computation. 2008, Vol 195, Num 2, pp 707-720, 14 p ; ref : 26 ref
- CODEN
- AMHCBQ
- ISSN
- 0096-3003
- Scientific domain
- Control theory, operational research; Computer science; Mathematics
- Publisher
- Elsevier, New York, NY
- Publication country
- United States
- Document type
- Article
- Language
- English
- Author keyword
- Black-Scholes equation Call options High order finite elements Option contracts pricing models Put options
- Keyword (fr)
- Analyse numérique Equation dérivée partielle Equation parabolique Fixation prix Lagrangien Maillage Mathématiques appliquées Méthode Crank Nicolson Méthode Galerkin Méthode discrétisation Méthode élément fini Option américaine Polynôme Problème valeur initiale Problème valeur limite 35Kxx 35XX 65M99 65Mxx 65N99 65Nxx Equation Black Scholes
- Keyword (en)
- Numerical analysis Partial differential equation Parabolic equation Pricing Lagrangian Grid pattern Applied mathematics Crank Nicolson method Galerkin method Discretization method Finite element method American option Polynomial Initial value problem Boundary value problem Black Scholes equation
- Keyword (es)
- Análisis numérico Ecuación derivada parcial Ecuación parabólica Fijación precios Lagrangiano Celdarada Matemáticas aplicadas Método Crank Nicolson Método Galerkin Método discretización Método elemento finito Opción americana Polinomio Problema valor inicial Problema valor limite
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02E Mathematical analysis / 001A02E08 Partial differential equations
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01J Partial differential equations, initial value problems and time-dependant initial-boundary value problems
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01K Partial differential equations, boundary value problems
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 20005778
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.amc.2007.05.017 
https://dx.doi.org/10.1016/j.amc.2007.05.017
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