A distributed algorithm for European options with nonlinear volatility
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Lai, C.H., Parrott, A.K., Rout, S. and Honnor, M.E. (2005) A distributed algorithm for European options with nonlinear volatility. Computers & Mathematics with Applications, 49 (56). pp. 885894. ISSN 08981221 (doi:10.1016/j.camwa.2004.03.014)

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Official URL: http://dx.doi.org/10.1016/j.camwa.2004.03.014
Abstract
A distributed algorithm is developed to solve nonlinear BlackScholes equations in the hedging of portfolios. The algorithm is based on an approximate inverse Laplace transform and is particularly suitable for problems that do not require detailed knowledge of each intermediate time steps.
Item Type:  Article 

Additional Information:  [1] Received March 2004, Accepted March 2004, Available online 13 May 2005. 
Uncontrolled Keywords:  option pricing, BlackScholes equation, finitedifference schemes, nonlinear volatility 1. INTRODUCTION 
Subjects:  Q Science > QA Mathematics 
Pre2014 Departments:  School of Computing & Mathematical Sciences School of Computing & Mathematical Sciences > Centre for Numerical Modelling & Process Analysis School of Computing & Mathematical Sciences > Centre for Numerical Modelling & Process Analysis > Computational Mechanics & Reliability Group School of Computing & Mathematical Sciences > Centre for Numerical Modelling & Process Analysis > Computational Science & Engineering Group School of Computing & Mathematical Sciences > Computer & Computational Science Research Group School of Computing & Mathematical Sciences > Department of Computer Science School of Computing & Mathematical Sciences > Department of Mathematical Sciences 
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Last Modified:  15 Oct 2016 07:08 
URI:  http://gala.gre.ac.uk/id/eprint/909 
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