Proceedings of the 2012 2nd International Conference on Computer and Information Application (ICCIA 2012)

A New Parallel Difference Numerical Method for the Payment of Dividend Black-Scholes Equation

Authors
Xiaozhong Yang, Fan Zhang
Corresponding Author
Xiaozhong Yang
Available Online May 2014.
DOI
https://doi.org/10.2991/iccia.2012.105How to use a DOI?
Keywords
payment of dividend Black-Scholes equation, alternating segment explicit-implicit scheme, parallel computing, numerical experiment
Abstract
A new alternating segment explicit-implicit and alternating segment implicit-explicit methods for solving the payment of dividend Black-Scholes equation are presented. These new methods have several advantages such as: good parallelism, unconditional stability, convergence and better accuracy. Numerical experiments show that the methods improve the calculation speed greatly
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Proceedings
Proceedings of the 2012 2nd International Conference on Computer and Information Application (ICCIA 2012)
Part of series
Advances in Intelligent Systems Research
Publication Date
May 2014
ISBN
978-94-91216-41-1
ISSN
1951-6851
DOI
https://doi.org/10.2991/iccia.2012.105How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Xiaozhong Yang
AU  - Fan Zhang
PY  - 2014/05
DA  - 2014/05
TI  - A New Parallel Difference Numerical Method for the Payment of Dividend Black-Scholes Equation
BT  - Proceedings of the 2012 2nd International Conference on Computer and Information Application (ICCIA 2012)
PB  - Atlantis Press
SP  - 437
EP  - 440
SN  - 1951-6851
UR  - https://doi.org/10.2991/iccia.2012.105
DO  - https://doi.org/10.2991/iccia.2012.105
ID  - Yang2014/05
ER  -