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A mixed derivative terms removing method in multi-asset option pricing problems

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A mixed derivative terms removing method in multi-asset option pricing problems

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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

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Title: A mixed derivative terms removing method in multi-asset option pricing problems
Author: Company Rossi, Rafael Egorova, Vera Jódar Sánchez, Lucas Antonio Soleymani, Fazlollah
UPV Unit: 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
Issued date:
Abstract:
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 ...[+]
Subjects: Multiasset option pricing , Multidimensional partial differential equations , Mixed derivative terms , LDLT factorization , Bunch Kaufman factorization
Copyrigths: Reserva de todos los derechos
Source:
Applied Mathematics Letters. (issn: 0893-9659 )
DOI: 10.1016/j.aml.2016.04.011
Publisher:
Elsevier
Publisher version: https://doi.org/10.1016/j.aml.2016.04.011
Project ID:
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/
Thanks:
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) ...[+]
Type: Artículo

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