Title of article :
A distributed algorithm for European options with nonlinear volatility
Author/Authors :
C.-H. Lai، نويسنده , , A.K. Parrott، نويسنده , , S. Rout، نويسنده , , M.E. Honnor، نويسنده ,
Issue Information :
دوهفته نامه با شماره پیاپی سال 2005
Abstract :
A distributed algorithm is developed to solve nonlinear Black-Scholes 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
Keywords :
Option pricing , Black-Scholes equation , Nonlinear volatility , Finite-difference schemes
Journal title :
Computers and Mathematics with Applications
Journal title :
Computers and Mathematics with Applications
