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 |
|