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FDMs and Transformation Methods for nonlinear BS equations

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FDMs and Transformation Methods for nonlinear BS equations

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dc.contributor.author Egorova, Vera es_ES
dc.contributor.author Jódar Sánchez, Lucas Antonio es_ES
dc.contributor.author Company Rossi, Rafael es_ES
dc.date.accessioned 2016-04-19T14:11:02Z
dc.date.available 2016-04-19T14:11:02Z
dc.date.issued 2014-10
dc.identifier.issn 1013-9338
dc.identifier.uri http://hdl.handle.net/10251/62746
dc.description.abstract Vera Egorova started her position in ITN Strike as Early-Stage-Researcher (ESR4) on September 1, 2013. The work is under the supervision of Prof. Lucas Jódar and Prof. Rafael Company. This Project is focused on numerical analysis and computing of finite difference schemes for the nonlinear Black-Scholes (BS) model. The American style option is the starting point of interest and the front-fixing method is a useful and efficient tool for the free boundary value problem associated to the American option. There exist several front-fixing transformations that are considered. A new, novel, transformation is applied to the American call option pricing problem. An analysis of properties for the numerical solutions of option pricing models as the positivity, stability and consistency of the solutions is done. es_ES
dc.language Inglés es_ES
dc.publisher European Consortium for Mathematics in Industry es_ES
dc.relation.ispartof ECMI newsletter es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject.classification MATEMATICA APLICADA es_ES
dc.title FDMs and Transformation Methods for nonlinear BS equations es_ES
dc.type Artículo es_ES
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada es_ES
dc.description.bibliographicCitation Egorova, V.; Jódar Sánchez, LA.; Company Rossi, R. (2014). FDMs and Transformation Methods for nonlinear BS equations. ECMI newsletter. 56:76-77. http://hdl.handle.net/10251/62746 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=357 es_ES
dc.description.upvformatpinicio 76 es_ES
dc.description.upvformatpfin 77 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 56 es_ES
dc.relation.senia 277463 es_ES


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