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

zbMATH Keywords

stabilitynumerical experimentsconvergence ordertwo-dimensional Black-Scholes equationexplicit-implicit alternating parallel difference methods

Mathematics Subject Classification ID

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

• Matlab

Cites Work

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• An alternating direction implicit scheme for parabolic equations with mixed derivative and convective terms
• A comparison study of ADI and operator splitting methods on option pricing models
• Alternating block explicit-implicit method for the two-dimensional diffusion equation
• Group explicit methods for parabolic equations
• Pure alternating block explicit-implicit method for the diffusion equation in two space dimensions

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