Alternating segment explicit-implicit and implicit-explicit parallel difference method for the nonlinear Leland equation

DOI10.1186/S13662-016-0823-5zbMath1410.91489OpenAlexW2320862504WikidataQ59467975 ScholiaQ59467975MaRDI QIDQ307436

Lifei Wu, Weijuan Zhao, Xiao-zhong Yang

Publication date: 1 September 2016

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

Full work available at URL: https://doi.org/10.1186/s13662-016-0823-5

zbMATH Keywords

numerical experimentsparallel computingalternating segment explicit-implicit (ASE-I) schemealternating segment implicit-explicit (ASI-E) schemenonlinear Leland equation

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) Parallel numerical computation (65Y05)

Uses Software

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Cites Work

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• A numerical method for European option pricing with transaction costs nonlinear equation
• On the numerical solution of nonlinear Black-Scholes equations
• A new kind of parallel finite difference method for the quanto option pricing model
• On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
• Group explicit methods for parabolic equations

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