Pricing European and American Options under Heston Model using Discontinuous Galerkin Finite Elements

This paper deals with pricing of European and American options, when the underlying asset price follows Heston model, via the interior penalty discontinuous Galerkin finite element method (dGFEM). The advantages of dGFEM space discretization with Rannacher smoothing as time integrator with nonsmooth initial and boundary conditions are illustrated for European vanilla options, digital call and American put options. The convection dominated Heston model for vanishing volatility is efficiently solved utilizing the adaptive dGFEM. For fast solution of the linear complementary problem of the American options, a projected successive over relaxation (PSOR) method is developed with the norm preconditioned dGFEM. We show the efficiency and accuracy of dGFEM for option pricing by conducting comparison analysis with other methods and numerical experiments

An optimal order interior penalty discontinuous Galerkin discretization of the compressible Navier-Stokes equations

In this article we propose a new symmetric version of the interior penalty discontinuous Galerkin finite element method for the numerical approximation of the compressible Navier-Stokes equations. Here, particular emphasis is devoted to the construction of an optimal numerical method for the evaluation of certain target functionals of practical interest, such as the lift and drag coefficients of a body immersed in a viscous fluid. With this in mind, the key ingredients in the construction of the method include: (i) An adjoint consistent imposition of the boundary conditions; (ii) An adjoint consistent reformulation of the underlying target functional of practical interest; (iii) Design of appropriate interior--penalty stabilization terms. Numerical experiments presented within this article clearly indicate the optimality of the proposed method when the error is measured in terms of both the L2-norm, as well as for certain target functionals. Computational comparisons with other discontinuous Galerkin schemes proposed in the literature, including the second scheme of Bassi and Rebay, the standard SIPG method outlined in [Hartmann,Houston-2006], and an NIPG variant of the new scheme will be undertaken

Discontinuous Galerkin finite element approximation of quasilinear elliptic boundary value problems II: Strongly monotone quasi-Newtonian flows

In this article we develop both the a priori and a posteriori error analysis of hp–version interior penalty discontinuous Galerkin finite element methods for strongly monotone quasi-Newtonian fluid flows in a bounded Lipschitz domain $\Omega \subset R^{d}, d$ = 2,3. In the latter case, computable upper and lower bounds on the error are derived in terms of a natural energy norm which are explicit in the local mesh size and local polynomial degree of the approximating finite element method. A series of numerical experiments illustrate the performance of the proposed a posteriori error indicators within an automatic hp–adaptive refinement algorithm

Adaptive discontinuous Galerkin approximations to fourth order parabolic problems

An adaptive algorithm, based on residual type a posteriori indicators of errors measured in $L^{\infty}(L^2)$ and $L^2(L^2)$ norms, for a numerical scheme consisting of implicit Euler method in time and discontinuous Galerkin method in space for linear parabolic fourth order problems is presented. The a posteriori analysis is performed for convex domains in two and three space dimensions for local spatial polynomial degrees $r\ge 2$. The a posteriori estimates are then used within an adaptive algorithm, highlighting their relevance in practical computations, which results into substantial reduction of computational effort