A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation
DOI10.1080/00207160.2020.1804554zbMath1480.91321OpenAlexW3047319546WikidataQ113280332 ScholiaQ113280332MaRDI QIDQ5031315
Shu-Zhen Sun, Ruifang Yan, Xiao-zhong Yang
Publication date: 18 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2020.1804554
stabilitynumerical experimentsconvergence ordertwo-dimensional Black-Scholes equationexplicit-implicit alternating parallel difference methods
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05)
Uses Software
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