On the parallel solution of stochastic parabolic equation

MaRDI QIDQ3561315zbMATH OpenFDO

Authors Dumitru Fanache

Publication date 25 May 2010

zbMATH Keywords

finite difference methodnumerical solution to Black-Scholes equationparallel algorithm

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Finite difference methods for boundary value problems involving PDEs (65N06) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Parallel algorithm for solving the Black-Scholes equation
• Numerical methods for solving a Black-Scholes equation
• A highly parallel Black--Scholes solver based on adaptive sparse grids
• A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation
• scientific article; zbMATH DE number 1432342

Cited in

(7)

• Stochastic modelling of diffusion equations on a parallel machine
• Numerical methods for solving a Black-Scholes equation
• Parallelised numeric solutions implicit-explicit domain decomposition
• scientific article; zbMATH DE number 434547 (Why is no real title available?)
• Parallel algorithm for solving the Black-Scholes equation
• scientific article; zbMATH DE number 1218994 (Why is no real title available?)
• A highly parallel Black--Scholes solver based on adaptive sparse grids

This page was built for publication: On the parallel solution of stochastic parabolic equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3561315)