A kind of difference method with intrinsic parallelism for nonlinear Leland equation

zbMATH Open1313.91193MaRDI QIDQ2926792FDOQ2926792

Authors: Lifei Wu, Xiaozhong Yang, Fan Zhang 

Publication date: 3 November 2014

Published in: Journal on Numerical Methods and Computer Applications (Search for Journal in Brave)

Recommendations

• Alternating segment explicit-implicit and implicit-explicit parallel difference method for the nonlinear Leland equation
• scientific article; zbMATH DE number 7070733
• A class of intrinsic parallel difference methods for time-space fractional Black-Scholes equation
• scientific article; zbMATH DE number 1372541
• A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation

zbMATH Keywords

stabilityparallel computingnonlinear Leland equationalternating segment Crank-Nicolson scheme

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Cited In (4)

• An alternating segment Crank-Nicolson parallel difference scheme for the time fractional sub-diffusion equation
• Title not available (Why is that?)
• Alternating segment explicit-implicit and implicit-explicit parallel difference method for the nonlinear Leland equation
• A new kind of parallel finite difference method for the quanto option pricing model

This page was built for publication: A kind of difference method with intrinsic parallelism for nonlinear Leland equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2926792)