Resolución numérica de un problema de valor óptimo de una opción

Bermúdez de Castro López Varela, Alfredo and Moreno González, Carlos and Samartín, Avelino (1997). Resolución numérica de un problema de valor óptimo de una opción. In: "Jornada Científica en homenaje al prof. Antonio Valle", 27 de Octubre, 1997, Sevilla, España. ISBN 84-472-0407-3.

Description

Title: Resolución numérica de un problema de valor óptimo de una opción
Author/s:
  • Bermúdez de Castro López Varela, Alfredo
  • Moreno González, Carlos
  • Samartín, Avelino
Item Type: Presentation at Congress or Conference (Article)
Event Title: Jornada Científica en homenaje al prof. Antonio Valle
Event Dates: 27 de Octubre, 1997
Event Location: Sevilla, España
Title of Book: Actas de la Jornada Científica en homenaje al prof. Antonio Valle Sánchez
Date: 1997
ISBN: 84-472-0407-3
Subjects:
Faculty: E.T.S.I. Caminos, Canales y Puertos (UPM)
Department: Mecánica de Medios Continuos y Teoría de Estructuras
Creative Commons Licenses: Recognition - No derivative works - Non commercial

Full text

[img]
Preview
PDF - Requires a PDF viewer, such as GSview, Xpdf or Adobe Acrobat Reader
Download (320kB) | Preview

Abstract

The option value problem with two costs is written as a variational inequality. The advantage of this formulation is that it takes place in a fixed domain. Thus no front tracking is needed for numerical approximation of the free boundary. An iterative algorithm is proposed which can be used to solve the nonlinear system obtained by finite differences or finite elements procedures. Especial care has to be taken in the design of differences finites schemes o finite elements due to the degeneracy of the differential operator. These schemes can be absortion or convection dominated nearly to the axis. This is a preliminary note to the study of this kind of problems.

More information

Item ID: 33006
DC Identifier: http://oa.upm.es/33006/
OAI Identifier: oai:oa.upm.es:33006
Deposited by: Biblioteca ETSI Caminos
Deposited on: 05 Dec 2014 06:47
Last Modified: 05 Dec 2014 06:47
  • Logo InvestigaM (UPM)
  • Logo GEOUP4
  • Logo Open Access
  • Open Access
  • Logo Sherpa/Romeo
    Check whether the anglo-saxon journal in which you have published an article allows you to also publish it under open access.
  • Logo Dulcinea
    Check whether the spanish journal in which you have published an article allows you to also publish it under open access.
  • Logo de Recolecta
  • Logo del Observatorio I+D+i UPM
  • Logo de OpenCourseWare UPM