A new ADI parallel difference method for quanto options pricing model

MaRDI QIDQ3179875zbMATH OpenFDO

Authors Lifei Wu, Xiaozhong Yang, Fan Zhang

Publication date 6 January 2017

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)

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• A new kind of parallel finite difference method for the quanto option pricing model
• A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation
• Improved ADI parallel difference method for quanto options pricing model

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