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
Pages
10
From page
885
To page
894
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
Serial Year
2005
Journal title
Computers and Mathematics with Applications
Record number
920197
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