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On a parallel time-domain method for the nonlinear Black-Scholes equation

On a parallel time-domain method for the nonlinear Black-Scholes equation

Lai, Choi-Hong, Crane, Diane and Davies, Alan (2007) On a parallel time-domain method for the nonlinear Black-Scholes equation. In: Domain Decomposition Methods in Science and Engineering XVI. Lecture Notes in Computational Science and Engineering (55). Springer Berlin Heidelberg, Berlin, Heidelberg, Germany, pp. 659-666. ISBN 9783540344681 ISSN 1439-7358 (doi:https://doi.org/10.1007/978-3-540-34469-8_82)

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Abstract

A parallel time-domain algorithm is described for the time-dependent nonlinear Black-Scholes equation, which may be used to build financial analysis tools to help traders making rapid and systematic evaluation of buy/sell contracts. The algorithm is particularly suitable for problems that do not require fine details at each intermediate time step, and hence the method applies well for the present problem.

Item Type: Conference Proceedings
Title of Proceedings: Domain Decomposition Methods in Science and Engineering XVI
Additional Information: [1] This paper was first presented at the Sixteenth International Conference on Domain Decomposition Methods held from 11-15 January 2005 in New York City. [2] ISBN: 9783540344681 (Print); 9783540344698 (Online).
Uncontrolled Keywords: computational mathematics and numerical analysis, computational science and engineering, numerical and computational methods, mathematics of computing
Subjects: Q Science > QA Mathematics
Q Science > QA Mathematics > QA76 Computer software
Pre-2014 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 Science & Engineering Group
School of Computing & Mathematical Sciences > Department of Mathematical Sciences
Related URLs:
Last Modified: 14 Oct 2016 09:02
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
Selected for GREAT 2019: None
URI: http://gala.gre.ac.uk/id/eprint/995

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