Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs

DOI10.1016/j.amc.2013.05.032zbMath1304.65186OpenAlexW2011305171MaRDI QIDQ2513556

Derik Castillo, Ana M. Ferreiro, Carlos Vázquez, José A. García-Rodríguez

Publication date: 28 January 2015

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.05.032

zbMATH Keywords

free boundary problemnumerical methodsfinite differencesparallelizationKolmogorov equationcharacteristics schemefirm pricingGPU technology

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs (65M25) Parallel numerical computation (65Y05)

Related Items (10)

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Uses Software

• CUDA

Cites Work

• Unnamed Item
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