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Finite difference methods for pricing American put option with rationality parameter: Numerical analysis and computing

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Finite difference methods for pricing American put option with rationality parameter: Numerical analysis and computing

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Company Rossi, R.; Egorova, V.; Jódar Sánchez, LA.; Vázquez, C. (2016). Finite difference methods for pricing American put option with rationality parameter: Numerical analysis and computing. Journal of Computational and Applied Mathematics. 304:1-17. doi:10.1016/j.cam.2016.03.001

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/87841

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Title: Finite difference methods for pricing American put option with rationality parameter: Numerical analysis and computing
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] In this paper finite difference methods for pricing American option with rationality parameter are proposed. The irrational exercise policy arising in American options is characterized in terms of a rationality ...[+]
Subjects: American option , Irrational exercise , Nonlinear Black Scholes equations , Finite difference method , Numerical analysis
Copyrigths: Cerrado
Source:
Journal of Computational and Applied Mathematics. (issn: 0377-0427 ) (eissn: 1879-1778 )
DOI: 10.1016/j.cam.2016.03.001
Publisher:
Elsevier
Publisher version: http://dx.doi.org/10.1016/j.cam.2016.03.001
Project ID: info:eu-repo/grantAgreement/EC/FP7/304617/EU
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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