scientific article; zbMATH DE number 1218994
From MaRDI portal
Publication:4217224
zbMath0914.90015MaRDI QIDQ4217224
Diane Crann, Alan J. Davies, Swee Hung Leong, Choi-Hong Lai
Publication date: 23 June 1999
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Laplace transformparallel algorithmnumerical solutionEuropean optionspatial domain decompositiontime-dependent heat equation
Related Items
Asynchronous time-parallel method based on Laplace transform, Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps, A distributed algorithm for European options with nonlinear volatility, 50 Years of Time Parallel Time Integration