英文标题：
《A Flexible Galerkin Scheme for Option Pricing in L\\\'evy Models》
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作者：
Maximilian Ga{\\ss} and Kathrin Glau
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最新提交年份：
2016
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英文摘要：
One popular approach to option pricing in L\\\'evy models is through solving the related partial integro differential equation (PIDE). For the numerical solution of such equations powerful Galerkin methods have been put forward e.g. by Hilber et al. (2013). As in practice large classes of models are maintained simultaneously, flexibility in the driving L\\\'evy model is crucial for the implementation of these powerful tools. In this article we provide such a flexible finite element Galerkin method. To this end we exploit the Fourier representation of the infinitesimal generator, i.e. the related symbol, which is explicitly available for the most relevant L\\\'evy models. Empirical studies for the Merton, NIG and CGMY model confirm the numerical feasibility of the method.
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中文摘要：
在列维模型中，一种流行的期权定价方法是通过求解相关的偏积分微分方程（PIDE）。对于此类方程的数值解，Hilber等人（2013）提出了强大的Galerkin方法。在实践中，大类模型是同时维护的，因此，驱动LSevy模型的灵活性对于这些强大工具的实现至关重要。在本文中，我们提供了一种灵活的有限元伽辽金方法。为此，我们利用了无穷小生成器的傅里叶表示法，即相关符号，它明确适用于最相关的列维模型。Merton、NIG和CGMY模型的实证研究证实了该方法的数值可行性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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