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Mostrando ítems 1-4 de 4

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 ...
Finite Difference Schemes for Option Pricing under Stochastic Volatility and Lévy Processes: Numerical Analysis and Computing

El-Fakharany, Mohamed Mostafa Refaat (Universitat Politècnica de València, 2015-07-29)

[EN] In the stock markets, the process of estimating a fair price for a stock, option or commodity is consider the corner stone for this trade. There are several attempts to obtain a suitable mathematical model in order ...
Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives

Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; Pintos Taronger, José Ramón (ElsevierPergamon, 2011)

[EN] This paper deals with the numerical analysis and computing of a nonlinear model of option pricing appearing in illiquid markets with observable parameters for derivatives. A consistent monotone finite difference scheme ...
Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes

El-Fakharany, Mohamed; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (Elsevier, 2016-04)

[EN] In this paper, numerical analysis of finite difference schemes for partial integro-differential models related to European and American option pricing problems under a wide class of Lévy models is studied. Apart from ...

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Listar por palabra clave "Option pricing"

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Listar por palabra clave "Option pricing"