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An efficient method for solving spread option pricing problem: numerical analysis and computing

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An efficient method for solving spread option pricing problem: 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 2017-05-18T13:14:26Z
dc.date.available 2017-05-18T13:14:26Z
dc.date.issued 2016
dc.identifier.issn 1085-3375
dc.identifier.uri http://hdl.handle.net/10251/81417
dc.description.abstract [EN] This paper deals with numerical analysis and computing of spread option pricing problem described by a two-spatial variables partial differential equation. Both European and American cases are treated. Taking advantage of a cross derivative removing technique, an explicit difference scheme is developed retaining the benefits of the one-dimensional finite difference method, preserving positivity, accuracy, and computational time efficiency. Numerical results illustrate the interest of the approach. 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 the Ministerio de Econom´ıa y Competitividad Spanish Grant MTM2013-41765-P.
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 An efficient method for solving spread option pricing problem: numerical analysis and computing es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1155/2016/1549492
dc.relation.projectID info:eu-repo/grantAgreement/MINECO//MTM2013-41765-P/ES/METODOS COMPUTACIONALES PARA ECUACIONES DIFERENCIALES ALEATORIAS: TEORIA Y APLICACIONES/ es_ES
dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/304617/PEOPLE-2012-ITN/EU/ es_ES
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Escuela Técnica Superior de Ingenieros de Caminos, Canales y Puertos - Escola Tècnica Superior d'Enginyers de Camins, Canals i Ports 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. Facultad de Administración y Dirección de Empresas - Facultat d'Administració i Direcció d'Empreses es_ES
dc.description.bibliographicCitation Company Rossi, R.; Egorova, V.; Jódar Sánchez, LA. (2016). An efficient method for solving spread option pricing problem: numerical analysis and computing. Abstract and Applied Analysis. 2016:1-11. https://doi.org/10.1155/2016/1549492 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://dx.doi.org/10.1155/2016/1549492 es_ES
dc.description.upvformatpinicio 1 es_ES
dc.description.upvformatpfin 11 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 2016 es_ES
dc.relation.senia 321993 es_ES
dc.contributor.funder European Commission
dc.contributor.funder Ministerio de Economía y Competitividad
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