Title: An Efficient Method for Solving Spread Option Pricing Problem: Numerical Analysis and Computing.
Authors: Company, R.; Egorova, V. N.; Jódar, L.
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.
Subjects: FINITE difference method; PARTIAL differential equations; PETROLEUM products; ACCURACY; ELECTRICITY
Publication: Abstract & Applied Analysis, 2016, p1
ISSN: 1085-3375
Publication type: Academic Journal
DOI: 10.1155/2016/1549492

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

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