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Positive Solutions of European Option Pricing with CGMYProcess Models Using Double Discretization Difference Schemes

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Positive Solutions of European Option Pricing with CGMYProcess Models Using Double Discretization Difference Schemes

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dc.contributor.author Company Rossi, Rafael es_ES
dc.contributor.author Jódar Sánchez, Lucas Antonio es_ES
dc.contributor.author El-Fakharany, Mohamed es_ES
dc.date.accessioned 2014-09-09T07:19:27Z
dc.date.available 2014-09-09T07:19:27Z
dc.date.issued 2013-10
dc.identifier.issn 1085-3375
dc.identifier.uri http://hdl.handle.net/10251/39491
dc.description.abstract [EN] This paper deals with the numerical analysis of PIDE option pricing models with CGMY process using double discretization schemes. This approach assumes weaker hypotheses of the solution on the numerical boundary domain than other relevant papers. Positivity, stability, and consistency are studied. An explicit scheme is proposed after a suitable change of variables. Advantages of the proposed schemes are illustrated with appropriate examples. 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 no. 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and by the Spanish M.E.Y.C. Grant DPI2010-20891-C02-01. en_EN
dc.language Inglés es_ES
dc.publisher Hindawi Publishing Corporation es_ES
dc.relation.ispartof Abstract and Applied Analysis es_ES
dc.rights Reconocimiento (by) es_ES
dc.subject Jump-diffusion model es_ES
dc.subject Levy driven assets es_ES
dc.subject American options es_ES
dc.subject Numerical valuation es_ES
dc.subject Returns es_ES
dc.subject.classification MATEMATICA APLICADA es_ES
dc.title Positive Solutions of European Option Pricing with CGMYProcess Models Using Double Discretization Difference Schemes es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1155/2013/517480
dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/304617/EU/Novel Methods in Computational Finance/
dc.relation.projectID info:eu-repo/grantAgreement/MICINN//DPI2010-20891-C02-01/ES/MODELIZACION Y METODOS NUMERICOS, ALEATORIOS Y DETERMINISTAS, PARA EL FILTRADO DE PARTICULAS DIESEL EN MOTORES DE COMBUSTION INTERNA SOBREALIMENTADOS/ es_ES
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada es_ES
dc.contributor.affiliation Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària es_ES
dc.description.bibliographicCitation Company Rossi, R.; Jódar Sánchez, LA.; El-Fakharany, M. (2013). Positive Solutions of European Option Pricing with CGMYProcess Models Using Double Discretization Difference Schemes. Abstract and Applied Analysis. 2013:1-12. https://doi.org/10.1155/2013/517480 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://dx.doi.org/10.1155/2013/517480 es_ES
dc.description.upvformatpinicio 1 es_ES
dc.description.upvformatpfin 12 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 2013 es_ES
dc.relation.senia 252559
dc.contributor.funder European Commission
dc.contributor.funder Ministerio de Ciencia e Innovación es_ES
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