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