An efficient method for option pricing with finite elements: an endogenous element length approach
An efficient method for option pricing with finite elements: an endogenous element length approach
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有限元期权定价的有效方法：内生元素长度方法
DOI：
10.1007/978-3-319-00795-3_30
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发表时间：
2014
期刊：
影响因子：
--
通讯作者：
K. Takahashi and T. Ohno
中科院分区：
文献类型：
--
作者：
T. Horiuchi;K. Takahashi and T. Ohno
本文提出了一种有效的期权定价的有限元方法。在这项研究中，我们从内生的偏微分方程的曲率来确定单元长度。我们的方法包括两个算法，元素的粗化和精化。如果局部区域的曲率较低，该模型会使单元变大，如果局部区域的曲率在每个时间步长较高，则模型会使单元变小。我们将这种方法应用于一维期权、欧式看跌期权和美式看跌期权。结果表明，该方法能够在保持精度不变的情况下缩短实验时间。
This paper proposes an efficient version of the finite element method (FEM) in option pricing. In this study, we determine element lengths from the curvature of the PDE endogenously. Our method consists of two algorithms, the coarsening and the refinement of the elements. The model makes the element larger if the curvature of the local domain is low, and smaller if it is high at each time step. We apply this approach to one-dimensional options, a European up-and-out call option, and an American put option. As a result, we find that this method is able to reduce the experiment time while the accuracy remains at a comparable level.