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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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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

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Título: An efficient method for solving spread option pricing problem: numerical analysis and computing
Autor: Company Rossi, Rafael Egorova, Vera Jódar Sánchez, Lucas Antonio
Entidad UPV: Universitat Politècnica de València. Escuela Técnica Superior de Ingenieros de Caminos, Canales y Puertos - Escola Tècnica Superior d'Enginyers de Camins, Canals i Ports
Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària
Universitat Politècnica de València. Facultad de Administración y Dirección de Empresas - Facultat d'Administració i Direcció d'Empreses
Fecha difusión:
Resumen:
[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 ...[+]
Derechos de uso: Reconocimiento (by)
Fuente:
Abstract and Applied Analysis. (issn: 1085-3375 )
DOI: 10.1155/2016/1549492
Editorial:
Hindawi Publishing Corporation
Versión del editor: http://dx.doi.org/10.1155/2016/1549492
Código del Proyecto:
info:eu-repo/grantAgreement/MINECO//MTM2013-41765-P/ES/METODOS COMPUTACIONALES PARA ECUACIONES DIFERENCIALES ALEATORIAS: TEORIA Y APLICACIONES/
info:eu-repo/grantAgreement/EC/FP7/304617/PEOPLE-2012-ITN/EU/
Agradecimientos:
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) ...[+]
Tipo: Artículo

References

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