Comparison of numerical schemes on multi-dimensional Black-Scholes equations (Q2872194)
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scientific article; zbMATH DE number 6245231
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| English | Comparison of numerical schemes on multi-dimensional Black-Scholes equations |
scientific article; zbMATH DE number 6245231 |
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14 January 2014
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Black-Scholes equation
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operator splitting method
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equity-linked security
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parallel computation
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message passing interface
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Comparison of numerical schemes on multi-dimensional Black-Scholes equations (English)
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The authors compare the Black-Scholes direct solving method with the operator splitting method using finite difference methods. Numerical examples include the equity-linked security pricing based on two or three assets.
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