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Moving boundary transformation for American call options with transaction cost: finite difference methods and computing

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Moving boundary transformation for American call options with transaction cost: finite difference methods and computing

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dc.contributor.author Egorova, Vera es_ES
dc.contributor.author Tan, Shih-Hau es_ES
dc.contributor.author Lai, Choi-Hong es_ES
dc.contributor.author Company Rossi, Rafael es_ES
dc.contributor.author Jódar Sánchez, Lucas Antonio es_ES
dc.date.accessioned 2018-05-18T04:19:11Z
dc.date.available 2018-05-18T04:19:11Z
dc.date.issued 2017 es_ES
dc.identifier.issn 0020-7160 es_ES
dc.identifier.uri http://hdl.handle.net/10251/102165
dc.description.abstract [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 solved by various finite difference methods, such as explicit and implicit schemes. Broyden s and Schubert s methods are applied as a modification to Newton s method in the case of nonlinearity in the equation. An alternating direction explicit method with second-order accuracy in time is used as an example in this paper to demonstrate the technique. Numerical results demonstrate the efficiency and the rate of convergence of the methods. es_ES
dc.description.sponsorship This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and the Ministerio de Economia y Competitividad Spanish grant MTM2013-41765-P. en_EN
dc.language Inglés es_ES
dc.publisher Taylor & Francis es_ES
dc.relation.ispartof International Journal of Computer Mathematics es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Nonlinear PDE es_ES
dc.subject Free boundary es_ES
dc.subject Transformation es_ES
dc.subject Finite difference methods es_ES
dc.subject Newton-likemethod es_ES
dc.subject Alternating direction explicit method es_ES
dc.subject 60G40 es_ES
dc.subject 65N06 es_ES
dc.subject 65N12 es_ES
dc.subject.classification MATEMATICA APLICADA es_ES
dc.title Moving boundary transformation for American call options with transaction cost: finite difference methods and computing es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1080/00207160.2015.1108409 es_ES
dc.relation.projectID info:eu-repo/grantAgreement/MINECO//MTM2013-41765-P/ES/METODOS COMPUTACIONALES PARA ECUACIONES DIFERENCIALES ALEATORIAS: TEORIA Y APLICACIONES/ es_ES
dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/304617/EU/Novel Methods in Computational Finance/ es_ES
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada es_ES
dc.description.bibliographicCitation Egorova, V.; Tan, S.; Lai, C.; Company Rossi, R.; Jódar Sánchez, LA. (2017). Moving boundary transformation for American call options with transaction cost: finite difference methods and computing. International Journal of Computer Mathematics. 94(2):345-362. https://doi.org/10.1080/00207160.2015.1108409 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion https://doi.org/10.1080/00207160.2015.1108409 es_ES
dc.description.upvformatpinicio 345 es_ES
dc.description.upvformatpfin 362 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 94 es_ES
dc.description.issue 2 es_ES
dc.relation.pasarela S\312208 es_ES
dc.contributor.funder European Commission es_ES
dc.contributor.funder Ministerio de Economía, Industria y Competitividad es_ES
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