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Publication:3179875
zbMath1374.91139MaRDI QIDQ3179875
Lifei Wu, Xiao-zhong Yang, Fan Zhang
Publication date: 6 January 2017
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
numerical experimentsparallel computingquanto options pricing modelADI difference methodCraig-Sneyd splitting method
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)
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