A new kind of parallel finite difference method for the quanto option pricing model

DOI10.1186/s13662-015-0643-zzbMath1422.91777OpenAlexW1927647389WikidataQ59434072 ScholiaQ59434072MaRDI QIDQ1622737

Lifei Wu, Yu-Ying Shi, Xiao-zhong Yang

Publication date: 19 November 2018

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-015-0643-z

zbMATH Keywords

stabilitynumerical experimentsparallel computingalternating band Crank-Nicolson (ABdC-N) schemequanto options pricing model

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)

Related Items (5)

A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation ⋮ Alternating segment explicit-implicit and implicit-explicit parallel difference method for the nonlinear Leland equation ⋮ A combined compact difference scheme for option pricing in the exponential jump-diffusion models ⋮ Approximate-analytical solution to the information measure's based quanto option pricing model ⋮ Primal-Dual Active-Set Method for the Valuation Of American Exchange Options

Cites Work

• Unconditional stability of parallel difference schemes with second order accuracy for parabolic equation
• Adaptive \(\theta \)-methods for pricing American options
• Solving finite difference schemes arising in trivariate option pricing.
• Group explicit methods for parabolic equations
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