A Discontinuous Galerkin Method for the CEV Process

This thesis exams the valuation of American and European Put options whose underlying assets follow a generalized Black-Scholes (CEV) process. This thesis establishes a Discontinuous Galerkin Numerical Method for approximating the resulting PDEs in valuing options. This thesis examines the method's convergence, and compare the method to other known numerical methods for valuing options, such as the Binomial Method. An extension of the method to higher dimensions for valuing basket options is also discussed.