An Efficient Method for Solving Spread Option Pricing Problem: Numerical Analysis and Computing
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 develo...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2016-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2016/1549492 |
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| _version_ | 1832550109356752896 |
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| author | R. Company V. N. Egorova L. Jódar |
| author_facet | R. Company V. N. Egorova L. Jódar |
| author_sort | R. Company |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-f9027ee90e7345a6b7c3f13baff77803 |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2016-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-f9027ee90e7345a6b7c3f13baff778032025-02-03T06:07:48ZengWileyAbstract and Applied Analysis1085-33751687-04092016-01-01201610.1155/2016/15494921549492An Efficient Method for Solving Spread Option Pricing Problem: Numerical Analysis and ComputingR. Company0V. N. Egorova1L. Jódar2Instituto de Matemática Multidisciplinar, Universitat Politécnica de Valéncia, Camino de Vera s/n, 46022 Valencia, SpainInstituto de Matemática Multidisciplinar, Universitat Politécnica de Valéncia, Camino de Vera s/n, 46022 Valencia, SpainInstituto de Matemática Multidisciplinar, Universitat Politécnica de Valéncia, Camino de Vera s/n, 46022 Valencia, SpainThis 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.http://dx.doi.org/10.1155/2016/1549492 |
| spellingShingle | R. Company V. N. Egorova L. Jódar An Efficient Method for Solving Spread Option Pricing Problem: Numerical Analysis and Computing Abstract and Applied Analysis |
| title | An Efficient Method for Solving Spread Option Pricing Problem: Numerical Analysis and Computing |
| title_full | An Efficient Method for Solving Spread Option Pricing Problem: Numerical Analysis and Computing |
| title_fullStr | An Efficient Method for Solving Spread Option Pricing Problem: Numerical Analysis and Computing |
| title_full_unstemmed | An Efficient Method for Solving Spread Option Pricing Problem: Numerical Analysis and Computing |
| title_short | An Efficient Method for Solving Spread Option Pricing Problem: Numerical Analysis and Computing |
| title_sort | efficient method for solving spread option pricing problem numerical analysis and computing |
| url | http://dx.doi.org/10.1155/2016/1549492 |
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