Buscar en RiuNet

Listar

Mostrando ítems 1-3 de 3

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 ...
On a safety set for an epidemic model with a bounded population

Coll, Carmen; Romero Vivó, Sergio; Sánchez, Elena (Vilnius Gediminas Technical University, 2022)

[EN] Given a class of non-linear SIRS epidemic model, we analyse some useful conditions on the model parameters to determine a safety set for the containment of an epidemic. In addition, once that set is determined, we ...
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 ...

Mostrando ítems 1-3 de 3