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Listar por autor "Company Rossi, Rafael"

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A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets

Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; Pintos Taronger, José Ramón (Elsevier, 2012-06)

Markets liquidity is an issue of very high concern in financial risk management. In a perfect liquid market the option pricing model becomes the well-known linear Black-Scholes problem. Nonlinear models appear when transaction ...
A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems

Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio (Elsevier, 2021-11)

[EN] American options prices under jump-diffusion models are determined by a free boundary partial integro-differential equation (PIDE) problem. In this paper, we propose a front-fixing exponential time differencing (FF-ETD) ...
A front-fixing method for American option pricing on zero-coupon bond under the Hull and White model

Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio; Peris, Jorge (John Wiley & Sons, 2022-04)

[EN] A new efficient numerical method is proposed for valuation of American option on zero-coupon bond using Hull and White model. By applying the front-fixing transformation suggested by Holmes and Yang, the original free ...
A front-fixing numerical method for a free boundary nonlinear diffusion logistic population model

Piqueras-García, Miguel Ángel; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (Elsevier, 2017)

[EN] The spatial temporal spreading of a new invasive species in a habitat has interest in ecology and is modeled by a moving boundary diffusion logistic partial differential problem, where the moving boundary represents ...
A local radial basis function method for high-dimensional American option pricing problems

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio; Soleymani, Fazlollah (Vilnius Gediminas Technical University, 2018)

[EN] In this work, we apply the local Wendland radial basis function (RBF) for solving the time-dependent multi dimensional option pricing nonlinear PDEs. Firstly, cross derivative terms of the PDE are removed with a ...
A mixed derivative terms removing method in multi-asset option pricing problems

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio; Soleymani, Fazlollah (Elsevier, 2016-10)

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 ...
A New Efficient Numerical Method for Solving American Option under Regime Switching Model

Egorova, Vera; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (Elsevier, 2016-01)

[EN] A system of coupled free boundary problems describing American put option pricing under regime switching is considered. In order to build numerical solution firstly a front-fixing transformation is applied. Transformed ...
A stable local radial basis function method for option pricing problem under the Bates model

Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio; Soleymani, Fazlollah (John Wiley & Sons, 2019-05)

[EN] We propose a local mesh-free method for the Bates¿Scott option pricing model, a 2D partial integro-differential equation (PIDE) arising in computational finance. A Wendland radial basis function (RBF) approach is used ...
An efficient method for solving spread option pricing problem: numerical analysis and computing

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio (Hindawi Publishing Corporation, 2016)

[EN] This paper deals with numerical analysis and computing of spread option pricing problem described by a two-spatial variables partial differential equation. Both European and American cases are treated. Taking advantage ...
An ETD Method for American Options under the Heston Model

Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio; Fuster Valls, Ferran (TECH SCIENCE PRESS, 4924 BALBOA BLVD, # 488, ENCINO, USA, CA, 91316, 2020)

[EN] A numerical method for American options pricing on assets under the Heston stochastic volatility model is developed. A preliminary transformation is applied to remove the mixed derivative term avoiding known numerical ...
Closed form numerical solutions of variable coefficient linear second-order elliptic problems

Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (Elsevier, 2014-07-01)

In this work we develop an alternative numerical technique which allows to construct a numerical solution in closed form of variable coefficient linear second-order elliptic problems with Dirichlet boundary conditions. The ...
Computing American option price under regime switching with rationality parameter

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio; Vázquez, C. (Elsevier, 2016-08)

[EN] American put option pricing under regime switching is modelled by a system of coupled partial differential equations. The proposed model combines better the reality of the market by incorporating the regime switching ...
Computing positive stable numerical solutions of moving boundary problems for concrete carbonation

Piqueras-García, Miguel Ángel; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (Elsevier, 2018)

[EN] This paper deals with the construction and computation of numerical solutions of a coupled mixed partial differential equation system arising in concrete carbonation problems. The moving boundary problem under study ...
Conditional full stability of positivity-preserving finite difference scheme for diffusion advection-reaction models

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio (Elsevier, 2018)

[EN] The matter of the stability for multidimensional diffusion-advection-reaction problems treated with the semi-discretization method is remaining challenge because when all the stepsizes tend simultaneously to zero the ...
Constructing positive reliable numerical solution for American call options: a new front-fixing approach

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio (Elsevier, 2016-01)

[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 ...
Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models

Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; Romero Bauset, José Vicente (Hindawi Publishing Corporation, 2012)

A new discretization strategy is introduced for the numerical solution of partial integrodifferential equations appearing in option pricing jump diffusion models. In order to consider the unknown behaviour of the solution ...
Exponential time differencing schemes for pricing American option under the Heston model

Company Rossi, Rafael; Fuster, F.; Jódar Sánchez, Lucas Antonio (R. Company, J. C. Cortés, L. Jódar and E. López-Navarro, 2019-07-12)

[EN] The classic Black-Scholes model makes assumptions that are not empirically valid. The model is widely employed as a useful approximation to reality, but proper application requires understanding its limitations and ...
FDMs and Transformation Methods for nonlinear BS equations

Egorova, Vera; Jódar Sánchez, Lucas Antonio; Company Rossi, Rafael (European Consortium for Mathematics in Industry, 2014-10)

Vera Egorova started her position in ITN Strike as Early-Stage-Researcher (ESR4) on September 1, 2013. The work is under the supervision of Prof. Lucas Jódar and Prof. Rafael Company. This Project is focused on numerical ...
Finite Difference Methods for nonlinear American Option Pricing models: Numerical Analysis and Computing

Egorova, Vera (Universitat Politècnica de València, 2016-09-01)

[EN] The present PhD thesis is focused on numerical analysis and computing of finite difference schemes for several relevant option pricing models that generalize the Black-Scholes model. A careful analysis of desirable ...
Finite difference methods for pricing American put option with rationality parameter: Numerical analysis and computing

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio; Vázquez, Carlos (Elsevier, 2016-10)

[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 ...