A mixed derivative terms removing method in multi-asset option pricing problems

被引：16

作者：

Company, R. ^{[1
]}

Egorova, V. N. ^{[1
]}

Jodar, L. ^{[1
]}

Soleymani, F. ^{[1
]}

机构：

[1] Univ Politecn Valencia, Inst Univ Matemat Multidisciplinar, Camino Vera S-N, E-46022 Valencia, Spain

来源：

APPLIED MATHEMATICS LETTERS | 2016年 / 60卷

关键词：

Multiasset option pricing; Multidimensional partial differential equations; Mixed derivative terms; LDLT factorization; Bunch-Kaufman factorization; SCHEMES; EQUATIONS; SYSTEMS;

D O I：

10.1016/j.aml.2016.04.011

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The challenge of removing the mixed derivative terms of a second order multidimensional partial differential equation is addressed in this paper. The proposed method, which is based on proper algebraic factorization of the so-called diffusion matrix, depends on the semidefinite or indefinite character of this matrix. Computational cost of the transformed equation is considerably reduced and well-known numerical drawbacks are avoided. (c) 2016 Elsevier Ltd. All rights reserved.

引用

页码：108 / 114

页数：7

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