An efficient method for solving spread option pricing problem: numerical analysis and computing

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

doi:10.1155/2016/1549492

dc.contributor.author	Company Rossi, Rafael
dc.contributor.author	Egorova, Vera
dc.contributor.author	Jódar Sánchez, Lucas
dc.date.accessioned	2020-02-03T15:49:18Z
dc.date.available	2020-02-03T15:49:18Z
dc.date.issued	2016-12-07
dc.identifier.issn	1687-0409
dc.identifier.issn	1085-3375
dc.identifier.other	MTM2013-41765-P	es_ES
dc.identifier.uri	http://hdl.handle.net/10902/18052
dc.description.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.	es_ES
dc.description.sponsorship	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.	es_ES
dc.format.extent	11 p.	es_ES
dc.language.iso	eng	es_ES
dc.publisher	Hindawi Publishing Corporation	es_ES
dc.rights	Attribution 4.0 International	es_ES
dc.rights.uri	http://creativecommons.org/licenses/by/4.0/	*
dc.source	Abstract and applied analysis, 2016, Article ID 1549492	es_ES
dc.title	An efficient method for solving spread option pricing problem: numerical analysis and computing	es_ES
dc.type	info:eu-repo/semantics/article	es_ES
dc.rights.accessRights	openAccess	es_ES
dc.identifier.DOI	10.1155/2016/1549492
dc.type.version	publishedVersion	es_ES