@article{10902/18051,
year = {2016},
month = {10},
url = {http://hdl.handle.net/10902/18051},
abstract = {The challenge of removing the mixed derivative terms of a second order multidimensional partial differential equation is addressed in this paper. The proposed method, which is based on proper algebraic factorization of the so-called diffusion matrix, depends on the semidefinite or indefinite character of this matrix. Computational cost of the transformed equation is considerably reduced and well-known numerical drawbacks are avoided.},
organization = {This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and the Ministerio de Economía y Competitividad Spanish grant MTM2013-41765-P.},
publisher = {Elsevier},
publisher = {Applied Mathematics Letters, 2016, 60, 108-114},
title = {A mixed derivative terms removing method in multi-asset option pricing problems},
author = {Company Rossi, Rafael and Egorova, Vera and Jódar Sánchez, Lucas and Soleymani, Fazlollah},
}