Experiences in the pricing of trivariate contingent claims with finite difference methods on a massively parallel computer

DOI10.1007/BF01299567zbMath0814.90005MaRDI QIDQ1342435

Niklas Ekvall

Publication date: 11 January 1995

Published in: Computational Economics (Search for Journal in Brave)

zbMATH Keywords

finite difference schemespricing of contingent claimsparallel computerasset valuation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Parallel numerical computation (65Y05)

Related Items (2)

Multi-core CPUs, clusters, and grid computing: A tutorial ⋮ Solving finite difference schemes arising in trivariate option pricing.

Uses Software

• APL2

Cites Work

• Unnamed Item

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