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Resolución numérica de un problema de valor óptimo de una opción
Citation
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 |
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| Author/s: |
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| 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 |
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 |
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| DC Identifier: | https://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 |
