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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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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

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Metadatos del ítem

Título: Solving American Option Pricing Models by the Front Fixing Method: Numerical Analysis and Computing
Autor: Company Rossi, Rafael Egorova, Vera Jódar Sánchez, Lucas Antonio
Entidad UPV: Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària
Fecha difusión:
Resumen:
[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. ...[+]
Derechos de uso: Reconocimiento (by)
Fuente:
Abstract and Applied Analysis. (issn: 1085-3375 )
DOI: 10.1155/2014/146745
Editorial:
Hindawi Publishing Corporation
Versión del editor: http://dx.doi.org/10.1155/2014/146745
Código del Proyecto:
info:eu-repo/grantAgreement/EC/FP7/304617/EU/Novel Methods in Computational Finance/
Agradecimientos:
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).
Tipo: Artículo

References

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