Alternative Parallel Strategies for Linear and Nonlinear PDEs in Option Pricing

DOI10.1007/978-3-319-61282-9_25zbMath1420.91516OpenAlexW2754434828MaRDI QIDQ4626520

Natkunam Kokulan, André M. S. Ribeiro, Choi-Hong Lai

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_25

zbMATH Keywords

Laplace transformoption pricinglinear and nonlinear PDEs

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) Laplace transform (44A10)

Related Items (1)

Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps

Cites Work

• Résolution d'EDP par un schéma en temps «pararéel »
• Analysis of the Parareal Time‐Parallel Time‐Integration Method
• Parallel Methods for the Numerical Integration of Ordinary Differential Equations
• Unnamed Item

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