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Removing the Correlation Term in Option Pricing HestonModel: Numerical Analysis and Computing

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Removing the Correlation Term in Option Pricing HestonModel: Numerical Analysis and Computing

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dc.contributor.author Company Rossi, Rafael es_ES
dc.contributor.author Jódar Sánchez, Lucas Antonio es_ES
dc.contributor.author El-Fakharany, Mohamed es_ES
dc.contributor.author Casabán Bartual, Mª Consuelo es_ES
dc.date.accessioned 2014-09-09T07:14:04Z
dc.date.available 2014-09-09T07:14:04Z
dc.date.issued 2013-05
dc.identifier.issn 1085-3375
dc.identifier.uri http://hdl.handle.net/10251/39490
dc.description.abstract [EN] This paper deals with the numerical solution of option pricing stochastic volatility model described by a time-dependent, twodimensional convection-diffusion reaction equation. Firstly, the mixed spatial derivative of the partial differential equation (PDE) is removed bymeans of the classical technique for reduction of second-order linear partial differential equations to canonical form. An explicit difference scheme with positive coefficients and only five-point computational stencil is constructed. The boundary conditions are adapted to the boundaries of the rhomboid transformed numerical domain. Consistency of the scheme with the PDE is shown and stepsize discretization conditions in order to guarantee stability are established. Illustrative numerical examples are included. es_ES
dc.description.sponsorship This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN Program under Grant Agreement no. 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and by the Spanish MEYC Grant DPI2010-20891-C02-01. en_EN
dc.language Inglés es_ES
dc.publisher Hindawi Publishing Corporation es_ES
dc.relation.ispartof Abstract and Applied Analysis es_ES
dc.rights Reconocimiento (by) es_ES
dc.subject Stochastic volatility es_ES
dc.subject.classification MATEMATICA APLICADA es_ES
dc.title Removing the Correlation Term in Option Pricing HestonModel: Numerical Analysis and Computing es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1155/2013/246724
dc.relation.projectID info:eu-repo/grantAgreement/MICINN//DPI2010-20891-C02-01/ES/MODELIZACION Y METODOS NUMERICOS, ALEATORIOS Y DETERMINISTAS, PARA EL FILTRADO DE PARTICULAS DIESEL EN MOTORES DE COMBUSTION INTERNA SOBREALIMENTADOS/ es_ES
dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/304617/EU/Novel Methods in Computational Finance/
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada es_ES
dc.contributor.affiliation Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària es_ES
dc.description.bibliographicCitation Company Rossi, R.; Jódar Sánchez, LA.; El-Fakharany, M.; Casabán Bartual, MC. (2013). Removing the Correlation Term in Option Pricing HestonModel: Numerical Analysis and Computing. Abstract and Applied Analysis. 2013:1-11. https://doi.org/10.1155/2013/246724 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://dx.doi.org/10.1155/2013/246724 es_ES
dc.description.upvformatpinicio 1 es_ES
dc.description.upvformatpfin 11 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 2013 es_ES
dc.relation.senia 246001
dc.contributor.funder European Commission
dc.contributor.funder Ministerio de Ciencia e Innovación es_ES
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