PARALLEL ALGORITHM FOR SOLVING THE BLACK-SCHOLES EQUATION

被引：0
|
作者：
Chiorean, Ioana [1 ]
机构：
[1] Babes Bolyai Univ, Fac Math, Kogalniceanu 1, Cluj Napoca 3400, Romania
来源：
KRAGUJEVAC JOURNAL OF MATHEMATICS | 2005年 / 27卷
关键词：
Black-Scholes equation; parallel algorithm;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
The aim of this paper is to study the possibility of obtaining the numerical solution of the Black-Scholes equation in parallel, by means of several processors, using the finite difference method. A comparison between the complexity of the parallel algorithm and the serial one is given.
引用
收藏
页码：91 / 100
页数：10
相关论文
共 50 条
  • [31] LAPLACE TRANSFORMATION METHOD FOR THE BLACK-SCHOLES EQUATION
    Lee, Hyoseop
    Sheen, Dongwoo
    INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING, 2009, 6 (04) : 642 - 658
  • [32] Fractional model and solution for the Black-Scholes equation
    Duan, Jun-Sheng
    Lu, Lei
    Chen, Lian
    An, Yu-Lian
    MATHEMATICAL METHODS IN THE APPLIED SCIENCES, 2018, 41 (02) : 697 - 704
  • [33] The Black-Scholes equation in stochastic volatility models
    Ekstrom, Erik
    Tysk, Johan
    JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2010, 368 (02) : 498 - 507
  • [34] Construction of Interval Shannon Wavelet and Its Application in Solving Nonlinear Black-Scholes Equation
    Liu, Liwei
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2014, 2014
  • [35] Removing non-smoothness in solving Black-Scholes equation using aperturbation method
    Putri, Endah R. M.
    Mardianto, Lutfi
    Hakam, Amirul
    Imron, Chairul
    Susanto, Hadi
    PHYSICS LETTERS A, 2021, 402
  • [36] Numerical solving of the generalized Black-Scholes differential equation using Laguerre neural network
    Chen, Yinghao
    Yu, Hanyu
    Meng, Xiangyu
    Xie, Xiaoliang
    Hou, Muzhou
    Chevallier, Julien
    DIGITAL SIGNAL PROCESSING, 2021, 112 (112)
  • [37] Novel ANN Method for Solving Ordinary and Time-Fractional Black-Scholes Equation
    Bajalan, Saeed
    Bajalan, Nastaran
    COMPLEXITY, 2021, 2021 (2021)
  • [38] The Black-Scholes equation in finance: Quantum mechanical approaches
    Yesiltas, Ozlem
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2023, 623
  • [39] Multigrid method for a fully nonlinear Black-Scholes equation
    Driouch, Aicha
    Al Moatassime, Hassan
    ANNALS OF THE UNIVERSITY OF CRAIOVA-MATHEMATICS AND COMPUTER SCIENCE SERIES, 2020, 47 (01): : 25 - 34
  • [40] Lie Symmetry Analysis of a Fractional Black-Scholes Equation
    Chong, Kam Yoon
    O'Hara, John G.
    MODERN TREATMENT OF SYMMETRIES, DIFFERENTIAL EQUATIONS AND APPLICATIONS (SYMMETRY 2019), 2019, 2153
12345