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Browsing by Subject "Front-fixing method"

Now showing items 1-2 of 2

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) ...
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 ...

Now showing items 1-2 of 2