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Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems

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Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems

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dc.contributor.author Fakharany, Mohamed Mostafa Refaat el es_ES
dc.contributor.author Company Rossi, Rafael es_ES
dc.contributor.author Jódar Sánchez, Lucas Antonio es_ES
dc.date.accessioned 2016-09-26T15:26:19Z
dc.date.available 2016-09-26T15:26:19Z
dc.date.issued 2015
dc.identifier.issn 1110-757X
dc.identifier.uri http://hdl.handle.net/10251/70446
dc.description.abstract This paper is concerned with the numerical solution of partial integrodifferential equation for option pricing models under a tempered stable process known as CGMY model. A double discretization finite difference scheme is used for the treatment of the unbounded nonlocal integral term. We also introduce in the scheme the Patankar-trick to guarantee unconditional nonnegative numerical solutions. Integration formula of open type is used in order to improve the accuracy of the approximation of the integral part. Stability and consistency are also studied. Illustrative 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). es_ES
dc.language Inglés es_ES
dc.publisher Hindawi Publishing Corporation es_ES
dc.relation.ispartof Journal of Applied Mathematics es_ES
dc.rights Reconocimiento (by) es_ES
dc.subject.classification MATEMATICA APLICADA es_ES
dc.title Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1155/2015/960728
dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/304617/EU/Novel Methods in Computational Finance/ en_EN
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada es_ES
dc.description.bibliographicCitation Fakharany, MMRE.; Company Rossi, R.; Jódar Sánchez, LA. (2015). Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems. Journal of Applied Mathematics. 2015:1-10. https://doi.org/10.1155/2015/960728 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://dx.doi.org/10.1155/2015/960728 es_ES
dc.description.upvformatpinicio 1 es_ES
dc.description.upvformatpfin 10 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 2015 es_ES
dc.relation.senia 280999 es_ES
dc.contributor.funder European Commission es_ES


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