| dc.contributor.author | Company, Rafael | |
| dc.contributor.author | Egorova, Vera | |
| dc.contributor.author | Jódar, Lucas | |
| dc.contributor.other | Universidad de Cantabria | es_ES |
| dc.date.accessioned | 2024-05-22T09:41:42Z | |
| dc.date.available | 2024-05-22T09:41:42Z | |
| dc.date.issued | 2024-02-17 | |
| dc.identifier.issn | 2227-7390 | |
| dc.identifier.other | PID2019-107685RB-I00 | es_ES |
| dc.identifier.other | PDC2022-133115-I00 | es_ES |
| dc.identifier.uri | https://hdl.handle.net/10902/32898 | |
| dc.description.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. | es_ES |
| dc.description.sponsorship | 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. | es_ES |
| dc.format.extent | 14 p. | es_ES |
| dc.language.iso | eng | es_ES |
| dc.publisher | MDPI | es_ES |
| dc.rights | © 2024 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license. | es_ES |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | * |
| dc.source | Mathematics, 2024, 12(4), 602 | es_ES |
| dc.subject.other | Vulnerable options | es_ES |
| dc.subject.other | Default risk | es_ES |
| dc.subject.other | Exponential time differencing | es_ES |
| dc.subject.other | Penalty method | es_ES |
| dc.title | An ETD method for vulnerable American options | es_ES |
| dc.type | info:eu-repo/semantics/article | es_ES |
| dc.rights.accessRights | openAccess | es_ES |
| dc.relation.projectID | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-107685RB-I00/ES/PREDICCION POR CONJUNTOS PARA EL PRONOSTICO DE LA PROPAGACION DE INCENDIOS FORESTALES/ | es_ES |
| dc.relation.projectID | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PDC2022-133115-I00/ES/BE A BETTER DIGITAL FIRE-FIGHTER/ | es_ES |
| dc.identifier.DOI | 10.3390/math12040602 | |
| dc.type.version | publishedVersion | es_ES |
Excepto si se señala otra cosa, la licencia del ítem se describe como © 2024 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license.
