A new kind of parallel finite difference method for the quanto option pricing model (Q1622737)
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scientific article; zbMATH DE number 6981550
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new kind of parallel finite difference method for the quanto option pricing model |
scientific article; zbMATH DE number 6981550 |
Statements
A new kind of parallel finite difference method for the quanto option pricing model (English)
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19 November 2018
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quanto options pricing model
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alternating band Crank-Nicolson (ABdC-N) scheme
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stability
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parallel computing
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numerical experiments
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