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

DOI

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

Copyright

© 2013, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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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  - 10.2991/iccia.2012.105
ID  - Yang2014/05
ER  -