Examinando por Materia "finite difference scheme"
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Ítem Numerical Comparison Of Pricing Of European Call Options For Mean Reverting Processes(2013-02-01) Freddy H. Marin sanchez; Vargas, Camilo; Pinzon, Margarita; Universidad EAFIT. Departamento de Economía y Finanzas; Research in Spatial Economics (RISE)We propose a change of probability measure that allows to find a partial differential equation for valuing European call options on processes mean reversion, whose solution is approximated numerically by Adomian decomposition method.Ítem Numerical Comparison Of Pricing Of European Call Options For Mean Reverting Processes(2013-02-01) Freddy H. Marin sanchez; Vargas, Camilo; Pinzon, Margarita; Universidad EAFIT. Escuela de Ciencias; Modelado MatemáticoWe propose a change of probability measure that allows to find a partial differential equation for valuing European call options on processes mean reversion, whose solution is approximated numerically by Adomian decomposition method.