Company Rossi, R.; Egorova, V.; Jódar Sánchez, LA.; Soleymani, F. (2016). A mixed derivative terms removing method in multi-asset option pricing problems. Applied Mathematics Letters. 60:108-114. https://doi.org/10.1016/j.aml.2016.04.011
Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/81420
Title:
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A mixed derivative terms removing method in multi-asset option pricing problems
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Author:
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Company Rossi, Rafael
Egorova, Vera
Jódar Sánchez, Lucas Antonio
Soleymani, Fazlollah
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UPV Unit:
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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
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Issued date:
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Abstract:
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The challenge of removing the mixed derivative terms of a second order multidimensional
partial differential equation is addressed in this paper. The proposed
method, which is based on proper algebraic factorization of ...[+]
The challenge of removing the mixed derivative terms of a second order multidimensional
partial differential equation is addressed in this paper. The proposed
method, which is based on proper algebraic factorization of the so-called diffusion
matrix, depends on the semidefinite or indefinite character of this matrix. Computational
cost of the transformed equation is considerably reduced and well-known
numerical drawbacks are avoided.
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Subjects:
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Multiasset option pricing
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Multidimensional partial differential equations
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Mixed derivative terms
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LDLT factorization
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Bunch Kaufman factorization
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Copyrigths:
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Reserva de todos los derechos
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Source:
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Applied Mathematics Letters. (issn:
0893-9659
)
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DOI:
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10.1016/j.aml.2016.04.011
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Publisher:
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Elsevier
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Publisher version:
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https://doi.org/10.1016/j.aml.2016.04.011
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Project ID:
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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/Multi-ITN STRIKE-Novel Methods in Computational Finance/
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Thanks:
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This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) ...[+]
This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and the Ministerio de Economia y Competitividad Spanish grant MTM2013-41765-P.
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Type:
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Artículo
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