Alternative parallel strategies for linear and nonlinear PDEs in option pricing

DOI10.1007/978-3-319-61282-9_25MaRDI QIDQ4626520zbMATH OpenOpenAlexFDO

Authors André M. S. Ribeiro, Natkunam Kokulan, C. H. Lai

Publication date 28 February 2019

Published in Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-61282-9_25

zbMATH Keywords

Laplace transformlinear and nonlinear PDEsoption pricing

Mathematics Subject Classification ID

Laplace transform (44A10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A ``parareal in time discretization of PDE's
• Analysis of the Parareal Time‐Parallel Time‐Integration Method
• scientific article; zbMATH DE number 1795849 (Why is no real title available?)
• Parallel Methods for the Numerical Integration of Ordinary Differential Equations

Cited in

(3)

• A distributed algorithm for European options with nonlinear volatility
• Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps
• scientific article; zbMATH DE number 5174038 (Why is no real title available?)

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