Publication:3561315

zbMath1214.91131MaRDI QIDQ3561315

Dumitru Fanache

Publication date: 25 May 2010

zbMATH Keywords

finite difference method; parallel algorithm; numerical solution to Black-Scholes equation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65Y05: Parallel numerical computation

65N06: Finite difference methods for boundary value problems involving PDEs