Solving American Option Pricing Models by the Front Fixing Method: Numerical Analysis and Computing

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dc.contributor.affiliationFacultad de Administración y Dirección de Empresas
dc.contributor.affiliationDepartamento de Matemática Aplicada
dc.contributor.affiliationInstituto Universitario de Matemática Multidisciplinar
dc.contributor.affiliationEscuela Técnica Superior de Ingeniería de Caminos, Canales y Puertos
dc.contributor.authorCompany Rossi, Rafael
dc.contributor.authorEgorova, Veraes_ES
dc.contributor.authorJódar Sánchez, Lucas Antonio
dc.contributor.funderEuropean Commission
dc.date.accessioned2015-05-22T10:30:04Z
dc.date.available2015-05-22T10:30:04Z
dc.date.issued2014-04
dc.description.abstract[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. Numerical analysis of the method is provided. The method preserves positivity and monotonicity of the numerical solution. Consistency and stability properties of the scheme are studied. Explicit calculations avoid iterative algorithms for solving nonlinear systems. Theoretical results are confirmed by numerical experiments. Comparison with other approaches shows that the proposed method is accurate and competitive.en_EN
dc.description.accrualMethodSes_ES
dc.description.bibliographicCitationCompany Rossi, R.; Egorova, V.; Jódar Sánchez, LA. (2014). Solving American Option Pricing Models by the Front Fixing Method: Numerical Analysis and Computing. Abstract and Applied Analysis. 2014:1-9. https://doi.org/10.1155/2014/146745es_ES
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dc.description.sponsorshipThis paper has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN Program under Grant Agreement no. 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance).en_EN
dc.description.upvformatpfin9es_ES
dc.description.upvformatpinicio1es_ES
dc.description.volume2014es_ES
dc.identifier.doi10.1155/2014/146745
dc.identifier.issn1085-3375
dc.identifier.urihttps://riunet.upv.es/handle/10251/50689
dc.languageIngléses_ES
dc.publisherHindawi Publishing Corporationes_ES
dc.relation.ispartofAbstract and Applied Analysises_ES
dc.relation.projectIDinfo:eu-repo/grantAgreement/EC/FP7/304617/EU/Novel Methods in Computational Finance/
dc.relation.publisherversionhttp://dx.doi.org/10.1155/2014/146745es_ES
dc.relation.references10.1080/10556788.2010.514341es_ES
dc.relation.references10.1007/BF00250676es_ES
dc.relation.references10.1111/j.1540-6261.1984.tb04921.xes_ES
dc.relation.references10.1111/j.1540-6261.1987.tb02569.xes_ES
dc.relation.references10.1093/rfs/11.3.627es_ES
dc.relation.references10.1007/BF00047211es_ES
dc.relation.references10.2307/2330889es_ES
dc.relation.references10.1137/S1064827500382324es_ES
dc.relation.references10.1016/j.cam.2007.10.044es_ES
dc.relation.references10.1016/j.camwa.2011.03.101es_ES
dc.relation.references10.1090/qam/33441es_ES
dc.relation.references10.1093/rfs/3.4.547es_ES
dc.relation.references10.1137/S0036142999355921es_ES
dc.relation.references10.1016/j.matcom.2010.04.026es_ES
dc.relation.references10.1016/j.mcm.2004.07.008es_ES
dc.relation.references10.1080/135048698334673es_ES
dc.relation.references10.1016/j.aml.2004.06.010es_ES
dc.relation.references10.1137/S0036142901390238es_ES
dc.relation.senia265890
dc.rightsReconocimiento (by)es_ES
dc.rights.accessRightsAbiertoes_ES
dc.subject.classificationMATEMATICA APLICADAes_ES
dc.titleSolving American Option Pricing Models by the Front Fixing Method: Numerical Analysis and Computinges_ES
dc.typeArtículoes_ES
dc.type.versioninfo:eu-repo/semantics/publishedVersiones_ES
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