An efficient method for solving spread option pricing problem: numerical analysis and computing (Q1669206)
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scientific article; zbMATH DE number 6929344
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| English | An efficient method for solving spread option pricing problem: numerical analysis and computing |
scientific article; zbMATH DE number 6929344 |
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An efficient method for solving spread option pricing problem: numerical analysis and computing (English)
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30 August 2018
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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.
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0.7930657267570496
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0.7798445224761963
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0.779205322265625
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0.7743250727653503
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