2 search results - page 1 / 1 » Parallel Option Price Valuations with the Explicit Finite Di... |
IJPP
2010
13 years 9 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 10 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...