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

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

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dc.contributor.author Company Rossi, Rafael es_ES
dc.contributor.author Egorova, Vera es_ES
dc.contributor.author Jódar Sánchez, Lucas Antonio es_ES
dc.date.accessioned 2015-05-22T10:30:04Z
dc.date.available 2015-05-22T10:30:04Z
dc.date.issued 2014-04
dc.identifier.issn 1085-3375
dc.identifier.uri http://hdl.handle.net/10251/50689
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. es_ES
dc.description.sponsorship This 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.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.classification MATEMATICA APLICADA es_ES
dc.title Solving American Option Pricing Models by the Front Fixing Method: Numerical Analysis and Computing es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1155/2014/146745
dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/304617/EU/Novel Methods in Computational Finance/
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.; 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/10.1155/2014/146745 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://dx.doi.org/10.1155/2014/146745 es_ES
dc.description.upvformatpinicio 1 es_ES
dc.description.upvformatpfin 9 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 2014 es_ES
dc.relation.senia 265890
dc.contributor.funder European Commission
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