Alternating segment explicit-implicit and implicit-explicit parallel difference method for the nonlinear Leland equation
DOI10.1186/S13662-016-0823-5zbMATH Open1410.91489OpenAlexW2320862504WikidataQ59467975 ScholiaQ59467975MaRDI QIDQ307436FDOQ307436
Authors: Weijuan Zhao, Lifei Wu, Xiaozhong Yang 
Publication date: 1 September 2016
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-016-0823-5
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numerical experimentsparallel computingalternating segment explicit-implicit (ASE-I) schemealternating segment implicit-explicit (ASI-E) schemenonlinear Leland equation
Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
- On the numerical solution of nonlinear Black-Scholes equations
- A new kind of parallel finite difference method for the quanto option pricing model
- On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
- A kind of difference method with intrinsic parallelism for nonlinear Leland equation
- Title not available (Why is that?)
- Group explicit methods for parabolic equations
- The unconditional stability of parallel difference schemes with second order convergence for nonlinear parabolic system
- A numerical method for European option pricing with transaction costs nonlinear equation
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