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Constructing positive reliable numerical solution for American call options: a new front-fixing approach

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Constructing positive reliable numerical solution for American call options: a new front-fixing approach

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Company Rossi, R.; Egorova, V.; Jódar Sánchez, LA. (2016). Constructing positive reliable numerical solution for American call options: a new front-fixing approach. Journal of Computational and Applied Mathematics. 291:422-431. doi:10.1016/j.cam.2014.09.013

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/84124

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Title: Constructing positive reliable numerical solution for American call options: a new front-fixing approach
Author:
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:
[EN] A new front-fixing transformation is applied to the Black Scholes equation for the American call option pricing problem. The transformed non-linear problem involves homogeneous boundary conditions independent of the ...[+]
Subjects: American call option pricing , Finite difference scheme , Front-fixing transformation , Numerical analysis , Positivity
Copyrigths: Reserva de todos los derechos
Source:
Journal of Computational and Applied Mathematics. (issn: 0377-0427 ) (eissn: 1879-1778 )
DOI: 10.1016/j.cam.2014.09.013
Publisher:
Elsevier
Publisher version: http://dx.doi.org/10.1016/j.cam.2014.09.013
Project ID: info:eu-repo/grantAgreement/EC/FP7/304617/EU
Thanks:
This paper 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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