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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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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.contributor.author Soleymani, Fazlollah es_ES
dc.date.accessioned 2017-05-18T13:53:51Z
dc.date.available 2017-05-18T13:53:51Z
dc.date.issued 2016-10
dc.identifier.issn 0893-9659
dc.identifier.uri http://hdl.handle.net/10251/81420
dc.description.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 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. 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 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. en_EN
dc.language Inglés es_ES
dc.publisher Elsevier es_ES
dc.relation.ispartof Applied Mathematics Letters es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Multiasset option pricing es_ES
dc.subject Multidimensional partial differential equations es_ES
dc.subject Mixed derivative terms es_ES
dc.subject LDLT factorization es_ES
dc.subject Bunch Kaufman factorization es_ES
dc.subject.classification MATEMATICA APLICADA es_ES
dc.title A mixed derivative terms removing method in multi-asset option pricing problems es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1016/j.aml.2016.04.011
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/Multi-ITN STRIKE-Novel Methods in Computational Finance/ 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.; 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 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion https://doi.org/10.1016/j.aml.2016.04.011 es_ES
dc.description.upvformatpinicio 108 es_ES
dc.description.upvformatpfin 114 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 60 es_ES
dc.relation.senia 312251 es_ES
dc.contributor.funder Ministerio de Economía y Competitividad es_ES
dc.contributor.funder European Commission


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