A mixed derivative terms removing method in multi-asset option pricing problems
EstadísticasView Usage Statistics
Full recordShow full item record
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.