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<dc:title>A mixed derivative terms removing method in multi-asset option pricing problems</dc:title>
<dc:creator>Company Rossi, Rafael</dc:creator>
<dc:creator>Egorova, Vera</dc:creator>
<dc:creator>Jódar Sánchez, Lucas Antonio</dc:creator>
<dc:creator>Soleymani, Fazlollah</dc:creator>
<dc:contributor>Universidad de Cantabria</dc:contributor>
<dc:subject>Multiasset option pricing</dc:subject>
<dc:subject>Multidimensional partial differential equations</dc:subject>
<dc:subject>Mixed derivative terms factorization</dc:subject>
<dc:subject>Bunch–Kaufman factorization</dc:subject>
<dc:description>The challenge of removing the mixed derivative terms of a second order multidimensional partial differential equation is addressed in this paper. The proposed method, which is based on proper algebraic factorization of the so-called diffusion matrix, depends on the semidefinite or indefinite character of this matrix. Computational cost of the transformed equation is considerably reduced and well-known numerical drawbacks are avoided.</dc:description>
<dc:description>This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and the Ministerio de Economía y Competitividad Spanish grant MTM2013-41765-P.</dc:description>
<dc:date>2020-02-03T15:24:05Z</dc:date>
<dc:date>2020-02-03T15:24:05Z</dc:date>
<dc:date>2016-10</dc:date>
<dc:type>info:eu-repo/semantics/article</dc:type>
<dc:type>acceptedVersion</dc:type>
<dc:identifier>0893-9659</dc:identifier>
<dc:identifier>1873-5452</dc:identifier>
<dc:identifier>MTM2013-41765-P</dc:identifier>
<dc:identifier>http://hdl.handle.net/10902/18051</dc:identifier>
<dc:identifier>10.1016/j.aml.2016.04.011</dc:identifier>
<dc:language>eng</dc:language>
<dc:relation>https://doi.org/10.1016/j.aml.2016.04.011</dc:relation>
<dc:rights>© 2016. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/</dc:rights>
<dc:rights>http://creativecommons.org/licenses/by-nc-nd/4.0/</dc:rights>
<dc:rights>openAccess</dc:rights>
<dc:publisher>Elsevier</dc:publisher>
<dc:source>Applied Mathematics Letters, 2016, 60, 108-114</dc:source>
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<dc:contributor>Universidad de Cantabria</dc:contributor>
<dc:creator>Company Rossi, Rafael</dc:creator>
<dc:creator>Egorova, Vera</dc:creator>
<dc:creator>Jódar Sánchez, Lucas Antonio</dc:creator>
<dc:creator>Soleymani, Fazlollah</dc:creator>
<dc:date>2016-10</dc:date>
<dc:description lang="es_ES">The challenge of removing the mixed derivative terms of a second order multidimensional partial differential equation is addressed in this paper. The proposed method, which is based on proper algebraic factorization of the so-called diffusion matrix, depends on the semidefinite or indefinite character of this matrix. Computational cost of the transformed equation is considerably reduced and well-known numerical drawbacks are avoided.</dc:description>
<dc:identifier>http://hdl.handle.net/10902/18051</dc:identifier>
<dc:language>eng</dc:language>
<dc:publisher>Elsevier</dc:publisher>
<dc:source>Applied Mathematics Letters, 2016, 60, 108-114</dc:source>
<dc:subject>Sin materia</dc:subject>
<dc:subject lang="es_ES">Multiasset option pricing</dc:subject>
<dc:subject lang="es_ES">Multidimensional partial differential equations</dc:subject>
<dc:subject lang="es_ES">Mixed derivative terms factorization</dc:subject>
<dc:subject lang="es_ES">Bunch–Kaufman factorization</dc:subject>
<dc:title lang="es_ES">A mixed derivative terms removing method in multi-asset option pricing problems</dc:title>
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