کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7216610 | 1470212 | 2018 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Homotopy perturbation transform method for pricing under pure diffusion models with affine coefficients
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
شیمی
شیمی (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Most existing multivariate models in finance are based on diffusion models. These models typically lead to the need of solving systems of Riccati differential equations. In this paper, we introduce an efficient method for solving systems of stiff Riccati differential equations. In this technique, a combination of Laplace transform and homotopy perturbation methods is considered as an algorithm to the exact solution of the nonlinear Riccati equations. The resulting technique is applied to solving stiff diffusion model problems that include interest rates models as well as two and three-factor stochastic volatility models. We show that the present approach is relatively easy, efficient and highly accurate.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of King Saud University - Science - Volume 30, Issue 1, January 2018, Pages 1-13
Journal: Journal of King Saud University - Science - Volume 30, Issue 1, January 2018, Pages 1-13
نویسندگان
Claude Rodrigue Bambe Moutsinga, Edson Pindza, Eben Maré,