Solving finite difference schemes arising in trivariate option pricing.
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Publication:1605207
DOI10.1016/S0165-1889(01)00082-3zbMath1100.91522MaRDI QIDQ1605207
Manfred Gilli, Giorgio Pauletto, Evis këllezi
Publication date: 15 July 2002
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
parallel computingfinite difference methodsKrylov methodsimplicit methodsmultivariate option pricing
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (6)
A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation ⋮ The hexanomial lattice for pricing multi-asset options ⋮ A new kind of parallel finite difference method for the quanto option pricing model ⋮ An improved product type oscillation test for partial difference equations ⋮ Space-time adaptive finite difference method for European multi-asset options ⋮ The use of interval arithmetic in solving a non-linear rational expectation based multiperiod output-inflation process model: the case of the IN/GB method
Uses Software
Cites Work
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