@article{10902/32898,
year = {2024},
month = {2},
url = {https://hdl.handle.net/10902/32898},
abstract = {This paper introduces the exponential time differencing (ETD) technique as a numerical method to efficiently solve vulnerable American options pricing. We address several challenges, including removing cross-derivative terms through appropriate transformations, treating early-exercise opportunities using the penalty method, and substituting fixed boundary conditions with corresponding one-sided finite differences. The proposed method is shown to be both accurate and efficient through numerical experiments, which also compare the results with existing methods and analyze the numerical stability and convergence rate.},
organization = {This work was partially supported by the Spanish Ministry of Economy and Competitiveness MINECO through the project PID2019-107685RB-I00 and by the Spanish State Research Agency (AEI) through the project PDC2022-133115-I00.},
publisher = {MDPI},
publisher = {Mathematics, 2024, 12(4), 602},
title = {An ETD method for vulnerable American options},
author = {Company, Rafael and Egorova, Vera and Jódar, Lucas},
}