Buscar

Estamos realizando la búsqueda. Por favor, espere...

 Detalle_Publicacion

A front-fixing ETD numerical method for solving jump–diffusion American option pricing problems

Abstract: 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) method composed of several steps. First, the free boundary is included into equation by applying the front-fixing transformation. Second, the resulting nonlinear PIDE is semi-discretized, that leads to a system of ordinary differential equations (ODEs). Third, a numerical solution of the system is constructed by using exponential time differencing (ETD) method and matrix quadrature rules. Finally, numerical analysis is provided to establish empirical stability conditions on step sizes. Numerical results show the efficiency and competitiveness of the FF-ETD method.

Otras publicaciones de la misma revista o congreso con autores/as de la Universidad de Cantabria

 Autoría: Company R., Egorova V.N., Jódar L.,

 Congreso: International Conference on Mathematical Modelling and Computational Methods in Applied Sciences and Engineering, Modelling 2019 (6ª : 2019 : Olomouc, República Checa)

 Fuente: Mathematics and Computers in Simulation, 2021, 189, 69-84

Editorial: Elsevier

 Fecha de publicación: 01/11/2021

Nº de páginas: 30

Tipo de publicación: Artículo de Revista

 DOI: 10.1016/j.matcom.2020.07.015

ISSN: 0378-4754,1872-7166

Proyecto español: MTM2017-89664-P

Url de la publicación: https://doi.org/10.1016/j.matcom.2020.07.015

Autores/as

COMPANY ROSSI, RAFAEL

JÓDAR SÁNCHEZ, LUCAS ANTONIO