A highly parallel Black–Scholes solver based on adaptive sparse grids (Q4903544): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1080/00207160.2012.690865 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2101029376 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computational Methods for Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sparse grids / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive Finite Element Methods for Parabolic Problems II: Optimal Error Estimates in $L_\infty L_2 $ and $L_\infty L_\infty $ / rank
 
Normal rank
Property / cites work
 
Property / cites work: A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic Convergence for Valuing American Options Using a Penalty Method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical techniques for the valuation of basket options and their Greeks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4794126 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Far Field Boundary Conditions for Black--Scholes Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences / rank
 
Normal rank
Property / cites work
 
Property / cites work: On coordinate transformation and grid stretching for sparse grid pricing of basket options / rank
 
Normal rank
Property / cites work
 
Property / cites work: A highly accurate adaptive finite difference solver for the Black–Scholes equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Space-time adaptive finite difference method for European multi-asset options / rank
 
Normal rank
Property / cites work
 
Property / cites work: TVD, WENO and blended BDF discretizations for Asian options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing American options using a space-time adaptive finite difference method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Spatially adaptive sparse grids for high-dimensional data-driven problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Finite element solution of diffusion problems with irregular data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4945761 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3159350 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options'' / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: A General Pricing Technique Based on Theta-Calculus and Sparse Grids / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tools for computational finance. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A high-order front-tracking finite difference method for pricing American options under jump-diffusion models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hierarchical bases give conjugate gradient type methods a multigrid speed of convergence / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 03:31, 6 July 2024

scientific article; zbMATH DE number 6127882
Language Label Description Also known as
English
A highly parallel Black–Scholes solver based on adaptive sparse grids
scientific article; zbMATH DE number 6127882

    Statements

    A highly parallel Black–Scholes solver based on adaptive sparse grids (English)
    0 references
    22 January 2013
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    Black--Scholes PDE
    0 references
    adaptive sparse grids
    0 references
    parallelization
    0 references
    distributed/shared memory systems
    0 references
    OpenMP/MPI
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references