Constructing positive reliable numerical solution for American call options: a new front-fixing approach

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas

doi:10.1016/j.cam.2014.09.013

dc.contributor.author	Company Rossi, Rafael
dc.contributor.author	Egorova, Vera
dc.contributor.author	Jódar Sánchez, Lucas
dc.date.accessioned	2020-01-31T17:22:07Z
dc.date.available	2020-01-31T17:22:07Z
dc.date.issued	2016-01-01
dc.identifier.issn	0377-0427
dc.identifier.issn	1879-1778
dc.identifier.uri	http://hdl.handle.net/10902/18035
dc.description.abstract	A new front-fixing transformation is applied to the Black?Scholes equation for the American call option pricing problem. The transformed non-linear problem involves homogeneous boundary conditions independent of the free boundary. The numerical solution by an explicit finite-difference method is positive and monotone. Stability and consistency of the scheme are studied. The explicit proposed method is compared with other competitive implicit ones from the points of view accuracy and computational cost.	es_ES
dc.format.extent	20 p.	es_ES
dc.language.iso	eng	es_ES
dc.publisher	Elsevier	es_ES
dc.rights	© 2014. This manuscript version is made available under the CC-BY-NC-ND 4.0 license	es_ES
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	*
dc.source	Journal of Computational and Applied Mathematics, 2016, 291, 422-431	es_ES
dc.subject.other	American call option pricing	es_ES
dc.subject.other	Finite difference scheme	es_ES
dc.subject.other	Front-fixing transformation	es_ES
dc.subject.other	Numerical analysis	es_ES
dc.subject.other	Positivity	es_ES
dc.title	Constructing positive reliable numerical solution for American call options: a new front-fixing approach	es_ES
dc.type	info:eu-repo/semantics/article	es_ES
dc.relation.publisherVersion	https://doi.org/10.1016/j.cam.2014.09.013	es_ES
dc.rights.accessRights	openAccess	es_ES
dc.identifier.DOI	10.1016/j.cam.2014.09.013
dc.type.version	acceptedVersion	es_ES