2 search results - page 1 / 1 » Parallel Option Price Valuations with the Explicit Finite Di... |
IJPP
2010
13 years 3 months ago
2010
Abstract. We show how computations such as those involved in American or European-style option price valuations with the explicit finite difference method can be performed in par...
SIAMSC
2008
13 years 4 months ago
2008
Numerical methods are developed for pricing European and American options under Kou's jump-diffusion model which assumes the price of the underlying asset to behave like a ge...