@article{10902/18052,
year = {2016},
month = {12},
url = {http://hdl.handle.net/10902/18052},
abstract = {This paper deals with numerical analysis and computing of spread option pricing problem described by a two-spatial variables partial differential equation. Both European and American cases are treated. Taking advantage of a cross derivative removing technique, an explicit difference scheme is developed retaining the benefits of the one-dimensional finite difference method, preserving positivity, accuracy, and computational time efficiency. Numerical results illustrate the interest of the approach.},
organization = {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 the Ministerio de Economía y Competitividad Spanish Grant MTM2013-41765-P.},
publisher = {Hindawi Publishing Corporation},
publisher = {Abstract and applied analysis, 2016, Article ID 1549492},
title = {An efficient method for solving spread option pricing problem: numerical analysis and computing},
author = {Company Rossi, Rafael and Egorova, Vera and Jódar Sánchez, Lucas},
}