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Abstract: This paper presents an explicit finite-difference method for nonlinear partial differential equation appearing as a transformed Black-Scholes equation for American put option under logarithmic front fixing transformation. Numerical analysis of the method is provided. The method preserves positivity and monotonicity of the numerical solution. Consistency and stability properties of the scheme are studied. Explicit calculations avoid iterative algorithms for solving nonlinear systems. Theoretical results are confirmed by numerical experiments. Comparison with other approaches shows that the proposed method is accurate and competitive.
Fuente: Abstract and Applied Analysis, 2014, Article ID 146745
Editorial: Hindawi Publishing Corporation
Fecha de publicación: 28/04/2014
Nº de páginas: 9
Tipo de publicación: Artículo de Revista
DOI: 10.1155/2014/146745
ISSN: 1687-0409,1085-3375
Consultar en UCrea Leer publicación
COMPANY ROSSI, RAFAEL
VERA EGOROVA
JÓDAR SÁNCHEZ, LUCAS ANTONIO
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