By a News Reporter-Staff News Editor at Investment Weekly News -- A new study on Computational Finance is now available. According to news reporting out of Broadway , Australia , by VerticalNews editors, research stated, "A compound option (the mother option) gives the holder the right, but not the obligation, to buy (long) or sell (short) the underlying option (the daughter option)." Our news journalists obtained a quote from the research from the University of Technology , "In this paper, we consider the problem of pricing American-type compound options when the underlying dynamics follow Heston's stochastic volatility and with stochastic interest rate driven by Cox-Ingersoll-Ross processes. We use a partial differential equation (PDE) approach to obtain a numerical solution." According to the news editors, the research concluded: "The problem is formulated as the solution to a two-pass free-boundary PDE problem, which is solved via a sparse grid approach and is found to be accurate and efficient compared with the results from a benchmark solution based on a least-squares Monte Carlo simulation combined with the projected successive over-relaxation method." For more information on this research see: The evaluation of American compound option prices under stochastic volatility and stochastic interest rates. Journal of Computational Finance , 2013;17(1):71-92. Journal of Computational Finance can be contacted at: Incisive Media, Haymarket House, 28-29 Haymarket, London , SW1Y 4RX, England . Our news journalists report that additional information may be obtained by contacting C. Chiarella , Univ Technol, Finance Discipline Grp , Broadway , NSW 2007, Australia . Keywords for this news article include: Broadway , Computational Finance, Australia and New Zealand Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2014, NewsRx LLC
Most Popular Stories
- Apple, HP, Intel May Take a Hit from Slowdown in Smartphone Sales Growth
- FDIC Files Lawsuit on Behalf of Banks Allegedly Hurt by Libor Scandal
- Some California Cities Seeking Water Independence
- Motley Crue's Nikki Sixx Marries Model Courtney Bingham
- Jack Daniel's Resists Changes to Tenn. Whiskey Law
- Chinese e-Commerce Giant Alibaba Gears for IPO in U.S.
- Crimea Seeks Financial Integration With Russia
- E.U. Puts Sanctions on Russia, Ukraine Officials
- Will Missing Malaysian Jet Prompt Aviation System Change?
- Chile Shaken by Major Aftershock