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

Author

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  • R. Company
  • V. N. Egorova
  • L. Jódar

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.

Suggested Citation

  • R. Company & V. N. Egorova & L. Jódar, 2016. "An Efficient Method for Solving Spread Option Pricing Problem: Numerical Analysis and Computing," Abstract and Applied Analysis, Hindawi, vol. 2016, pages 1-11, December.
    • Handle: RePEc:hin:jnlaaa:1549492
    DOI: 10.1155/2016/1549492
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    Cited by:

    1. Alessandro Ramponi, 2022. "Spread Option Pricing in Regime-Switching Jump Diffusion Models," Mathematics, MDPI, vol. 10(9), pages 1-15, May.

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