- -

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

RiuNet: Institutional repository of the Polithecnic University of Valencia

Share/Send to

Cited by

Statistics

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

Show simple item record

Files in this item

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.date.accessioned 2017-06-29T13:11:55Z
dc.date.available 2017-06-29T13:11:55Z
dc.date.issued 2016-01
dc.identifier.issn 0377-0427
dc.identifier.uri http://hdl.handle.net/10251/84124
dc.description.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 free boundary. The numerical solution by an explicit finite-difference method is positive and monotone. Stability and consistency of the scheme are studied. The explicit proposed method is compared with other competitive implicit ones from the points of view accuracy and computational cost. es_ES
dc.description.sponsorship 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). en_EN
dc.language Inglés es_ES
dc.publisher Elsevier es_ES
dc.relation.ispartof Journal of Computational and Applied Mathematics es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject American call option pricing es_ES
dc.subject Finite difference scheme es_ES
dc.subject Front-fixing transformation es_ES
dc.subject Numerical analysis es_ES
dc.subject Positivity es_ES
dc.subject.classification MATEMATICA APLICADA es_ES
dc.title Constructing positive reliable numerical solution for American call options: a new front-fixing approach es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1016/j.cam.2014.09.013
dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/304617/EU
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. (2016). Constructing positive reliable numerical solution for American call options: a new front-fixing approach. Journal of Computational and Applied Mathematics. 291:422-431. https://doi.org/10.1016/j.cam.2014.09.013 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://dx.doi.org/10.1016/j.cam.2014.09.013 es_ES
dc.description.upvformatpinicio 422 es_ES
dc.description.upvformatpfin 431 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 291 es_ES
dc.relation.senia 292707 es_ES
dc.identifier.eissn 1879-1778
dc.contributor.funder European Commission


This item appears in the following Collection(s)

Show simple item record