A new kind of parallel finite difference method for the quanto option pricing model
type: Item
instance of: scholarly article
title: A new kind of parallel finite difference method for the quanto option pricing model
zbMATH Open document ID: 1422.91777
author: Lifei Wu
author: Xiaozhong Yang
author: Yuying Shi
published in: Advances in Difference Equations
publication date: 2018-11-19T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 65Y05
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6981550
zbMATH Keywords: quanto options pricing model
zbMATH Keywords: alternating band Crank-Nicolson (ABdC-N) scheme
zbMATH Keywords: stability
zbMATH Keywords: parallel computing
zbMATH Keywords: numerical experiments
MaRDI profile type: Publication
full work available at URL: s13662-015-0643-z
OpenAlex ID: W1927647389
Wikidata QID: Q59434072
cites work: Solving finite difference schemes arising in trivariate option pricing.
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cites work: Group explicit methods for parabolic equations
cites work: Q4382751
cites work: Unconditional stability of parallel difference schemes with second order accuracy for parabolic equation
cites work: Q5436184
cites work: Q5293092
cites work: A kind of difference method with intrinsic parallelism for nonlinear Leland equation
DOI: 10.1186/S13662-015-0643-Z
description: scientific article; zbMATH DE number 6981550