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Browsing by Author "Egorova, Vera"

Now showing items 1-20 of 20

A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems

Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio (Elsevier, 2021-11)

[EN] American options prices under jump-diffusion models are determined by a free boundary partial integro-differential equation (PIDE) problem. In this paper, we propose a front-fixing exponential time differencing (FF-ETD) ...
A front-fixing method for American option pricing on zero-coupon bond under the Hull and White model

Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio; Peris, Jorge (John Wiley & Sons, 2022-04)

[EN] A new efficient numerical method is proposed for valuation of American option on zero-coupon bond using Hull and White model. By applying the front-fixing transformation suggested by Holmes and Yang, the original free ...
A local radial basis function method for high-dimensional American option pricing problems

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio; Soleymani, Fazlollah (Vilnius Gediminas Technical University, 2018)

[EN] In this work, we apply the local Wendland radial basis function (RBF) for solving the time-dependent multi dimensional option pricing nonlinear PDEs. Firstly, cross derivative terms of the PDE are removed with a ...
A mixed derivative terms removing method in multi-asset option pricing problems

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio; Soleymani, Fazlollah (Elsevier, 2016-10)

The challenge of removing the mixed derivative terms of a second order multidimensional partial differential equation is addressed in this paper. The proposed method, which is based on proper algebraic factorization of ...
A New Efficient Numerical Method for Solving American Option under Regime Switching Model

Egorova, Vera; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (Elsevier, 2016-01)

[EN] A system of coupled free boundary problems describing American put option pricing under regime switching is considered. In order to build numerical solution firstly a front-fixing transformation is applied. Transformed ...
A random free-boundary diffusive logistic differential model: Numerical analysis, computing and simulation

Casabán, M.C.; Company Rossi, Rafael; Egorova, V.N.; Jódar Sánchez, Lucas Antonio (Elsevier, 2024-07)

[EN] A free boundary diffusive logistic model finds application in many different fields from biological invasion to wildfire propagation. However, many of these processes show a random nature and contain uncertainties in ...
A stable local radial basis function method for option pricing problem under the Bates model

Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio; Soleymani, Fazlollah (John Wiley & Sons, 2019-05)

[EN] We propose a local mesh-free method for the Bates¿Scott option pricing model, a 2D partial integro-differential equation (PIDE) arising in computational finance. A Wendland radial basis function (RBF) approach is used ...
An efficient method for solving spread option pricing problem: numerical analysis and computing

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio (Hindawi Publishing Corporation, 2016)

[EN] This paper deals with numerical analysis and computing of spread option pricing problem described by a two-spatial variables partial differential equation. Both European and American cases are treated. Taking advantage ...
An ETD Method for American Options under the Heston Model

Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio; Fuster Valls, Ferran (TECH SCIENCE PRESS, 4924 BALBOA BLVD, # 488, ENCINO, USA, CA, 91316, 2020)

[EN] A numerical method for American options pricing on assets under the Heston stochastic volatility model is developed. A preliminary transformation is applied to remove the mixed derivative term avoiding known numerical ...
Computing American option price under regime switching with rationality parameter

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio; Vázquez, C. (Elsevier, 2016-08)

[EN] American put option pricing under regime switching is modelled by a system of coupled partial differential equations. The proposed model combines better the reality of the market by incorporating the regime switching ...
Conditional full stability of positivity-preserving finite difference scheme for diffusion advection-reaction models

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio (Elsevier, 2018)

[EN] The matter of the stability for multidimensional diffusion-advection-reaction problems treated with the semi-discretization method is remaining challenge because when all the stepsizes tend simultaneously to zero the ...
Constructing positive reliable numerical solution for American call options: a new front-fixing approach

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio (Elsevier, 2016-01)

[EN] A new front-fixing transformation is applied to the Black Scholes equation for the American call option pricing problem. The transformed non-linear problem involves homogeneous boundary conditions independent of the ...
FDMs and Transformation Methods for nonlinear BS equations

Egorova, Vera; Jódar Sánchez, Lucas Antonio; Company Rossi, Rafael (European Consortium for Mathematics in Industry, 2014-10)

Vera Egorova started her position in ITN Strike as Early-Stage-Researcher (ESR4) on September 1, 2013. The work is under the supervision of Prof. Lucas Jódar and Prof. Rafael Company. This Project is focused on numerical ...
Finite Difference Methods for nonlinear American Option Pricing models: Numerical Analysis and Computing

Egorova, Vera (Universitat Politècnica de València, 2016-09-01)

[EN] The present PhD thesis is focused on numerical analysis and computing of finite difference schemes for several relevant option pricing models that generalize the Black-Scholes model. A careful analysis of desirable ...
Finite difference methods for pricing American put option with rationality parameter: Numerical analysis and computing

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio; Vázquez, Carlos (Elsevier, 2016-10)

[EN] In this paper finite difference methods for pricing American option with rationality parameter are proposed. The irrational exercise policy arising in American options is characterized in terms of a rationality ...
Integral transform solution of random coupled parabolic partial differential models

Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio (John Wiley & Sons, 2020-09-30)

[EN] Random coupled parabolic partial differential models are solved numerically using random cosine Fourier transform together with non-Gaussian random numerical integration that captures the highly oscillatory behaviour ...
Moving boundary transformation for American call options with transaction cost: finite difference methods and computing

Egorova, Vera; Tan, Shih-Hau; Lai, Choi-Hong; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (Taylor & Francis, 2017)

[EN] The pricing of American call option with transaction cost is a free boundary problem. Using a new transformation method the boundary is made to follow a certain known trajectory in time. The new transformed problem is ...
Numerical valuation of two-asset options under jump diffusion models using Gauss Hermite quadrature

El-Fakharany, Mohamed; Egorova, Vera; Company Rossi, Rafael (Elsevier, 2018)

[EN] In this work a finite difference approach together with a bivariate Gauss¿Hermite quadrature technique is developed for partial-integro differential equations related to option pricing problems on two underlying ...
Quadrature Integration Techniques for Random Hyperbolic PDE Problems

Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio (MDPI AG, 2021-01)

[EN] In this paper, we consider random hyperbolic partial differential equation (PDE) problems following the mean square approach and Laplace transform technique. Randomness requires not only the computation of the ...
Solving American Option Pricing Models by the Front Fixing Method: Numerical Analysis and Computing

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio (Hindawi Publishing Corporation, 2014-04)

[EN] This paper presents an explicit finite-difference method for nonlinear partial differential equation appearing as a transformed Black-Scholes equation for American put option under logarithmic front fixing transformation. ...