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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 ...
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 ...
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 ...

Mostrando ítems 1-3 de 3