An Efficient Method for Solving Spread Option Pricing Problem: Numerical Analysis and Computing

R. Company, V. N. Egorova and L. Jódar

Abstract and Applied Analysis, 2016, vol. 2016, 1-11

Abstract:

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.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://downloads.hindawi.com/journals/AAA/2016/1549492.pdf (application/pdf)
http://downloads.hindawi.com/journals/AAA/2016/1549492.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:1549492

DOI: 10.1155/2016/1549492

Access Statistics for this article

More articles in Abstract and Applied Analysis from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem (mohamed.abdelhakeem@hindawi.com).