A new ADI parallel difference method for quanto options pricing model

zbMATH Open1374.91139MaRDI QIDQ3179875FDOQ3179875

Xiaozhong Yang, Fan Zhang, Lifei Wu

Publication date: 6 January 2017

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zbMATH Keywords

numerical experimentsparallel computingquanto options pricing modelADI difference methodCraig-Sneyd splitting method

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)

Cited In (1)

• A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation

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