This paper is devoted to barrier options and the main objective is to develop a sufficiently robust, accurate and efficient method for computation of their values driven according to the well-known Black-Scholes equation. The main idea is based on the discontinuous Galerkin method together with a spatial adaptive approach. This combination seems to be a promising technique for the solving of such problems with discontinuous solutions as well as for consequent optimization of the number of degrees of freedom and computational cost. The appended numerical experiment illustrates the potency of the proposed numerical scheme.
@article{702712,
title = {Valuing barrier options using the adaptive discontinuous Galerkin method},
booktitle = {Programs and Algorithms of Numerical Mathematics},
series = {GDML\_Books},
publisher = {Institute of Mathematics AS CR},
address = {Prague},
year = {2013},
pages = {94-99},
url = {http://dml.mathdoc.fr/item/702712}
}
Hozman, Jiří. Valuing barrier options using the adaptive discontinuous Galerkin method, dans Programs and Algorithms of Numerical Mathematics, GDML_Books, (2013), pp. 94-99. http://gdmltest.u-ga.fr/item/702712/