A new kind of parallel finite difference method for the quanto option pricing model

被引：0
作者：
Xiaozhong Yang
Lifei Wu
Yuying Shi
机构：
[1] North China Electric Power University,School of Mathematics and Physics
来源：
Advances in Difference Equations | / 2015卷
关键词：
quanto options pricing model; alternating band Crank-Nicolson (ABdC-N) scheme; stability; parallel computing; numerical experiments;
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摘要：
The quanto option pricing model is an important financial derivatives pricing model; it is a two-dimensional Black-Scholes (B-S) equation with a mixed derivative term. The research of its numerical solutions has theoretical value and practical application significance. An alternating band Crank-Nicolson (ABdC-N) difference scheme for solving the quanto options pricing model was constructed. It is constituted of the classical implicit scheme, the explicit scheme and the Crank-Nicolson scheme, it has the following advantages: parallelism, high precision, and unconditional stability. Numerical experiments and theoretical analysis all show that ABdC-N scheme can be used to solve the quanto options pricing problems effectively.
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