An efficient method for solving spread option pricing problem: numerical analysis and computing
type: Item
instance of: scholarly article
title: An efficient method for solving spread option pricing problem: numerical analysis and computing
zbMATH Open document ID: 1470.91323
DOI: 10.1155/2016/1549492
published in: Abstract and Applied Analysis
publication date: 2018-08-30T00:00:00Z
review text: Summary: 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.
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6929344
Wikidata QID: Q59121502
author: R. Company
author: V. N. Egorova
author: L. Jódar
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2016/1549492
OpenAlex ID: W2560545101
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description: scientific article; zbMATH DE number 6929344