Improved ADI parallel difference method for quanto options pricing model

MaRDI QIDQ3187143zbMATH OpenFDO

Authors Lifei Wu, Xiaozhong Yang, Fan Zhang

Publication date 15 August 2016

Full work available at URL http://www.math.ualberta.ca/ijnam/Volume-13-2016/No-4-16/2016-04-05.pdf

zbMATH Keywords

improved ADI methodnumerical experimentsparallel computingquanto options pricing modeltwo-dimensional Black-Scholes equation

Mathematics Subject Classification ID

Parallel numerical computation (65Y05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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• A new kind of parallel finite difference method for the quanto option pricing model
• A new ADI parallel difference method for quanto options pricing model

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