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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 ...
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 ...

Mostrando ítems 1-3 de 3