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) ...
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 ...
Morato Rafet, Sergio(Universitat Politècnica de València, 2021-01-17)
[ES] La forma más exacta de conocer el desplazamiento de los neutrones a través de un medio material se consigue resolviendo la Ecuación del Transporte Neutrónico. Tres diferentes aproximaciones de esta ecuación se han ...
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 ...
Egorova, Vera; Tan, Shih-Hau; Lai, Choi-Hong; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Taylor & Francis, 2017)
[EN] The pricing of American call option with transaction cost is a free boundary
problem. Using a new transformation method the boundary is made to
follow a certain known trajectory in time. The new transformed problem
is ...
Piqueras-García, Miguel Ángel; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Elsevier, 2018)
[EN] This paper deals with the construction, analysis and computation of a numerical
method to solve a moving boundary coupled nonlinear system of parabolic
reaction-diffusion equations, arising in concrete carbonation ...
Piqueras, Miguel A.; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(John Wiley & Sons, 2020-09-30)
[EN] The two-phase Stefan problems with phase formation and depletion are special
cases ofmoving boundary problemswith interest in science and industry. In this
work, we study a solidification problem, introducing a ...