التفاصيل البيبلوغرافية
| العنوان: |
A robust computational method to solve a class of real estate exotic options. |
| المؤلفون: |
Dube, M., Patidar, K. C. |
| المصدر: |
AIP Conference Proceedings; 2024, Vol. 3094 Issue 1, p1-4, 4p |
| مصطلحات موضوعية: |
REAL estate sales, REAL property, REAL estate management, PARTIAL differential equations, FINITE differences |
| مستخلص: |
The globalisation of real estate markets and the amount of capital invested in them results in a need for innovative mechanisms to manage and contain the risk of having shocks in the real estate market destabilising and affecting international financial markets. To this end, the risk management for real estate portfolios can be effectively done through the use of real estate index based derivatives. In this paper, we consider a class of real estatefloating strike exotic options. The equation modelling this phenomena is a time-dependent partial differential equation which is discretized using a robust non-standard finite difference scheme. This scheme is analyzed for convergence. Numerical results supporting theoretical analysis are presented for a range of parameter values. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
Complementary Index |
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