A mixed derivative terms removing method in multi-asset option pricing problems

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

doi:10.1016/j.aml.2016.04.011

Ver/Abrir

AMixedDerivativeTerm ... (119.5Kb)

Identificadores

URI: http://hdl.handle.net/10902/18051

DOI: 10.1016/j.aml.2016.04.011

ISSN: 0893-9659

ISSN: 1873-5452

Fecha

2016-10

Derechos

Publicado en

Applied Mathematics Letters, 2016, 60, 108-114

Editorial

Elsevier

Enlace a la publicación

https://doi.org/10.1016/j.aml.2016.04.011

Palabras clave

Multiasset option pricing

Multidimensional partial differential equations

Mixed derivative terms factorization

Bunch–Kaufman factorization

Resumen/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.

Colecciones a las que pertenece

D20 Artículos [468]
D20 Proyectos de Investigación [326]

© 2016. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/

Excepto si se señala otra cosa, la licencia del ítem se describe como © 2016. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/