Publication:4781666

zbMath1022.65096MaRDI QIDQ4781666

Guillaume Bal, Yvon Maday

Publication date: 4 February 2003

zbMATH Keywords

difference method; numerical solutions; Black-Scholes equation; financial mathematics; American put option; numerical expamples; parallel time discretization

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

35K90: Abstract parabolic equations

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

65M20: Method of lines for initial value and initial-boundary value problems involving PDEs