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

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

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Company Rossi, R.; Egorova, VN.; Jódar Sánchez, LA. (2021). A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems. Mathematics and Computers in Simulation. 189:69-84. https://doi.org/10.1016/j.matcom.2020.07.015

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/179436

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Title: A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
Author: Company Rossi, Rafael Egorova, Vera N. Jódar Sánchez, Lucas Antonio
UPV Unit: Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària
Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Issued date:
Embargo end date: 2023-11-30
Abstract:
[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) ...[+]
Subjects: American option pricing , Front-fixing method , Exponential time differencing , Finite difference methods , Experimental numerical analysis , Gauss quadrature
Copyrigths: Embargado
Source:
Mathematics and Computers in Simulation. (issn: 0378-4754 )
DOI: 10.1016/j.matcom.2020.07.015
Publisher:
Elsevier
Publisher version: https://doi.org/10.1016/j.matcom.2020.07.015
Project ID:
info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/MTM2017-89664-P/ES/PROBLEMAS DINAMICOS CON INCERTIDUMBRE SIMULABLE: MODELIZACION MATEMATICA, ANALISIS, COMPUTACION Y APLICACIONES/
Thanks:
This work has been partially supported by the Ministerio de Ciencia, Innovacion y Universidades, Spanish grant MTM2017-89664-P
Type: Artículo

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