Academic Journal
A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
| العنوان: | A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems |
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| المؤلفون: | Company Rossi, Rafael, Egorova, Vera N., Jódar Sánchez, Lucas Antonio |
| المساهمون: | Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària, Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada, AGENCIA ESTATAL DE INVESTIGACION |
| بيانات النشر: | Elsevier |
| سنة النشر: | 2021 |
| المجموعة: | Universitat Politécnica de Valencia: RiuNet / Politechnical University of Valencia |
| مصطلحات موضوعية: | American option pricing, Front-fixing method, Exponential time differencing, Finite difference methods, Experimental numerical analysis, Gauss quadrature, MATEMATICA APLICADA |
| الوصف: | [EN] American options prices under jump-diffusion models are determined by a free boundary partial integro-differential equation (PIDE) problem. In this paper, we propose a front-fixing exponential time differencing (FF-ETD) method composed of several steps. First, the free boundary is included into equation by applying the front-fixing transformation. Second, the resulting nonlinear PIDE is semi-discretized, that leads to a system of ordinary differential equations (ODEs). Third, a numerical solution of the system is constructed by using exponential time differencing (ETD) method and matrix quadrature rules. Finally, numerical analysis is provided to establish empirical stability conditions on step sizes. Numerical results show the efficiency and competitiveness of the FF-ETD method. (C) 2020 International Association for Mathematics and Computers in Simulation (IMACS). Published by Elsevier B.V. All rights reserved. ; This work has been partially supported by the Ministerio de Ciencia, Innovacion y Universidades, Spanish grant MTM2017-89664-P ; Company Rossi, R.; Egorova, VN.; Jódar Sánchez, LA. (2021). A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems. Mathematics and Computers in Simulation. 189:69-84. https://doi.org/10.1016/j.matcom.2020.07.015 ; 69 ; 84 ; 189 |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| تدمد: | 0378-4754 |
| Relation: | Mathematics and Computers in Simulation; info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/MTM2017-89664-P/ES/PROBLEMAS DINAMICOS CON INCERTIDUMBRE SIMULABLE: MODELIZACION MATEMATICA, ANALISIS, COMPUTACION Y APLICACIONES/; https://doi.org/10.1016/j.matcom.2020.07.015; urn:issn:0378-4754; http://hdl.handle.net/10251/179436 |
| DOI: | 10.1016/j.matcom.2020.07.015 |
| الاتاحة: | http://hdl.handle.net/10251/179436 https://doi.org/10.1016/j.matcom.2020.07.015 |
| Rights: | http://rightsstatements.org/vocab/InC/1.0/ ; info:eu-repo/semantics/openAccess |
| رقم الانضمام: | edsbas.A804253E |
| قاعدة البيانات: | BASE |
| تدمد: | 03784754 |
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| DOI: | 10.1016/j.matcom.2020.07.015 |