Constructing positive reliable numerical solution for American call options: a new front-fixing approach

A new front-fixing transformation is applied to the Black?Scholes equation for the American call option pricing problem. The transformed non-linear problem involves homogeneous boundary conditions independent of the free boundary. The numerical solution by an explicit finite-difference method is pos...

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Detalles Bibliográficos
Autores: Company Rossi, Rafael, Egorova, Vera|||0000-0002-3024-3033, Jódar Sánchez, Lucas
Tipo de recurso: artículo
Fecha de publicación:2016
País:España
Institución:Universidad de Cantabria (UC)
Repositorio:UCrea Repositorio Abierto de la Universidad de Cantabria
Idioma:inglés
OAI Identifier:oai:repositorio.unican.es:10902/18035
Acceso en línea:http://hdl.handle.net/10902/18035
Access Level:acceso abierto
Palabra clave:American call option pricing
Finite difference scheme
Front-fixing transformation
Numerical analysis
Positivity
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spelling Constructing positive reliable numerical solution for American call options: a new front-fixing approachCompany Rossi, RafaelEgorova, Vera|||0000-0002-3024-3033Jódar Sánchez, LucasAmerican call option pricingFinite difference schemeFront-fixing transformationNumerical analysisPositivityA new front-fixing transformation is applied to the Black?Scholes equation for the American call option pricing problem. The transformed non-linear problem involves homogeneous boundary conditions independent of the free boundary. The numerical solution by an explicit finite-difference method is positive and monotone. Stability and consistency of the scheme are studied. The explicit proposed method is compared with other competitive implicit ones from the points of view accuracy and computational cost.Elsevier20162016-01-01journal articlehttp://purl.org/coar/resource_type/c_6501NAhttp://purl.org/coar/version/c_be7fb7dd8ff6fe43info:eu-repo/semantics/articlehttp://hdl.handle.net/10902/18035Journal of Computational and Applied Mathematics, 2016, 291, 422-431reponame:UCrea Repositorio Abierto de la Universidad de Cantabriainstname:Universidad de Cantabria (UC)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Attribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:repositorio.unican.es:10902/180352026-06-02T12:39:31Z
dc.title.none.fl_str_mv Constructing positive reliable numerical solution for American call options: a new front-fixing approach
title Constructing positive reliable numerical solution for American call options: a new front-fixing approach
spellingShingle Constructing positive reliable numerical solution for American call options: a new front-fixing approach
Company Rossi, Rafael
American call option pricing
Finite difference scheme
Front-fixing transformation
Numerical analysis
Positivity
title_short Constructing positive reliable numerical solution for American call options: a new front-fixing approach
title_full Constructing positive reliable numerical solution for American call options: a new front-fixing approach
title_fullStr Constructing positive reliable numerical solution for American call options: a new front-fixing approach
title_full_unstemmed Constructing positive reliable numerical solution for American call options: a new front-fixing approach
title_sort Constructing positive reliable numerical solution for American call options: a new front-fixing approach
dc.creator.none.fl_str_mv Company Rossi, Rafael
Egorova, Vera|||0000-0002-3024-3033
Jódar Sánchez, Lucas
author Company Rossi, Rafael
author_facet Company Rossi, Rafael
Egorova, Vera|||0000-0002-3024-3033
Jódar Sánchez, Lucas
author_role author
author2 Egorova, Vera|||0000-0002-3024-3033
Jódar Sánchez, Lucas
author2_role author
author
dc.subject.none.fl_str_mv American call option pricing
Finite difference scheme
Front-fixing transformation
Numerical analysis
Positivity
topic American call option pricing
Finite difference scheme
Front-fixing transformation
Numerical analysis
Positivity
description A new front-fixing transformation is applied to the Black?Scholes equation for the American call option pricing problem. The transformed non-linear problem involves homogeneous boundary conditions independent of the free boundary. The numerical solution by an explicit finite-difference method is positive and monotone. Stability and consistency of the scheme are studied. The explicit proposed method is compared with other competitive implicit ones from the points of view accuracy and computational cost.
publishDate 2016
dc.date.none.fl_str_mv 2016
2016-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
NA
http://purl.org/coar/version/c_be7fb7dd8ff6fe43
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv http://hdl.handle.net/10902/18035
url http://hdl.handle.net/10902/18035
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Attribution-NonCommercial-NoDerivatives 4.0 International
http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Attribution-NonCommercial-NoDerivatives 4.0 International
http://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv Journal of Computational and Applied Mathematics, 2016, 291, 422-431
reponame:UCrea Repositorio Abierto de la Universidad de Cantabria
instname:Universidad de Cantabria (UC)
instname_str Universidad de Cantabria (UC)
reponame_str UCrea Repositorio Abierto de la Universidad de Cantabria
collection UCrea Repositorio Abierto de la Universidad de Cantabria
repository.name.fl_str_mv
repository.mail.fl_str_mv
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