- Tytuł:
- Application of the Trefftz method for option pricing
- Autorzy:
-
Brzozowska-Rup, Katarzyna
Hożejowska, Sylwia
Hożejowski, Leszek - Powiązania:
- https://bibliotekanauki.pl/articles/1918663.pdf
- Data publikacji:
- 2020
- Wydawca:
- Politechnika Śląska. Wydawnictwo Politechniki Śląskiej
- Tematy:
-
contract options
option pricing
Black-Scholes model
Trefftz method
opcje kontraktowe
wycena opcji
model Blacka-Scholesa
Metoda Trefftza - Opis:
- Purpose: Option pricing is hardly a new topic, however, in many cases they lack an analytical solution. The article proposes a new approach to option pricing based on the semi-analytical Trefftz method. Design/methodology/approach: An appropriate transformation makes it possible to reduce the Black-Scholes equation to the heat equation. This admits the Trefftz method (which has shown its effectiveness in heat conduction problems) to be employed. The advantage of such an approach lies in its computational simplicity and in the fact that it delivers a solution satisfying the governing equation. Findings: The theoretical option pricing problem being considered in the paper has been solved by means of the Trefftz method, and the results achieved appear to comply with those taken from the Black-Scholes formula. Numerical simulations have been carried out and compared, which has confirmed the accuracy of the proposed approach. Originality/value: Although a number of solutions to the Black-Scholes model have appeared, the paper presents a thoroughly novel idea of implementation of the Trefftz method for solving this model. So far, the method has been applied to problems having nothing in common with finance. Therefore the present approach might be a starting point for software development, competitive to the existing methods of pricing options.
- Źródło:
-
Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska; 2020, 146; 37-49
1641-3466 - Pojawia się w:
- Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska
- Dostawca treści:
- Biblioteka Nauki
Artykuł