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Listar por palabra clave "Exponential time differencing"

Mostrando ítems 1-4 de 4

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) ...
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 ...
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 ...
Numerical solutions of random mean square Fisher-KPP models with advection

Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (John Wiley & Sons, 2020-09-30)

[EN] This paper deals with the construction of numerical stable solutions of random mean square Fisher-Kolmogorov-Petrosky-Piskunov (Fisher-KPP) models with advection. The construction of the numerical scheme is performed ...

Mostrando ítems 1-4 de 4

Listar por palabra clave "Exponential time differencing"

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Listar por palabra clave "Exponential time differencing"