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) ...
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 ...
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 ...
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 ...