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Publication:2926792
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zbMath1313.91193MaRDI QIDQ2926792

Lifei Wu, Fan Zhang, Xiao-zhong Yang

Publication date: 3 November 2014


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stabilityparallel computingnonlinear Leland equationalternating segment Crank-Nicolson scheme


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) Derivative securities (option pricing, hedging, etc.) (91G20)


Related Items (3)

A new kind of parallel finite difference method for the quanto option pricing model ⋮ Alternating segment explicit-implicit and implicit-explicit parallel difference method for the nonlinear Leland equation ⋮ An alternating segment Crank-Nicolson parallel difference scheme for the time fractional sub-diffusion equation







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