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Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models

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Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models

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dc.contributor.author Casabán Bartual, Mª Consuelo es_ES
dc.contributor.author Company Rossi, Rafael es_ES
dc.contributor.author Jódar Sánchez, Lucas Antonio es_ES
dc.contributor.author Romero Bauset, José Vicente es_ES
dc.date.accessioned 2013-01-28T10:47:37Z
dc.date.available 2013-01-28T10:47:37Z
dc.date.issued 2012
dc.identifier.issn 1085-3375
dc.identifier.uri http://hdl.handle.net/10251/19070
dc.description.abstract A new discretization strategy is introduced for the numerical solution of partial integrodifferential equations appearing in option pricing jump diffusion models. In order to consider the unknown behaviour of the solution in the unbounded part of the spatial domain, a double discretization is proposed. Stability, consistency, and positivity of the resulting explicit scheme are analyzed. Advantages of the method are illustrated with several examples. es_ES
dc.description.sponsorship This paper was supported by the Spanish M.E.Y.C. Grant DPI2010-20891-C02-01. en_EN
dc.format.extent 20 es_ES
dc.language Inglés es_ES
dc.publisher Hindawi Publishing Corporation
dc.relation.ispartof Abstract and Applied Analysis es_ES
dc.rights Reconocimiento (by) es_ES
dc.subject Levy driven assets es_ES
dc.subject American options es_ES
dc.subject Numerical valuation es_ES
dc.subject Convergence es_ES
dc.subject Equations es_ES
dc.subject Finance es_ES
dc.subject.classification MATEMATICA APLICADA es_ES
dc.title Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1155/2012/120358
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada es_ES
dc.description.bibliographicCitation Casabán Bartual, MC.; Company Rossi, R.; Jódar Sánchez, LA.; Romero Bauset, JV. (2012). Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models. Abstract and Applied Analysis. 2012:1-20. doi:10.1155/2012/120358 es_ES
dc.description.accrualMethod Senia es_ES
dc.relation.publisherversion http://dx.doi.org/10.1155/2012/120358 es_ES
dc.description.upvformatpinicio 1 es_ES
dc.description.upvformatpfin 20 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 2012 es_ES
dc.relation.senia 231016


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