Alternating segment explicit-implicit and implicit-explicit parallel difference method for the nonlinear Leland equation

DOI10.1186/S13662-016-0823-5MaRDI QIDQ307436zbMATH OpenOpenAlexWikidataFDO

Authors Weijuan Zhao, Lifei Wu, Xiaozhong Yang

Publication date 1 September 2016

Published in Advances in Difference Equations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13662-016-0823-5

zbMATH Keywords

numerical experimentsparallel computingalternating segment explicit-implicit (ASE-I) schemealternating segment implicit-explicit (ASI-E) schemenonlinear Leland equation

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 5562046 (Why is no real title available?)
• A kind of difference method with intrinsic parallelism for nonlinear Leland equation
• A new kind of parallel finite difference method for the quanto option pricing model
• A numerical method for European option pricing with transaction costs nonlinear equation
• Group explicit methods for parabolic equations
• On the numerical solution of nonlinear Black-Scholes equations
• On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
• The unconditional stability of parallel difference schemes with second order convergence for nonlinear parabolic system

Cited in

(2)

• scientific article; zbMATH DE number 7070733 (Why is no real title available?)
• A kind of difference method with intrinsic parallelism for nonlinear Leland equation

Describes a project that uses

Uses Software

• Matlab

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