scientific article

zbMath1302.91196MaRDI QIDQ2934454

Gaoxin Zhou, Xiao-zhong Yang

Publication date: 12 December 2014

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

zbMATH Keywords

second-order accuracy`explicit-implicit' scheme`implicit-explicit' schemeaccelerated AOS algorithmdual currency option 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) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation

Uses Software

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