文章基本信息

标题：A new kind of parallel finite difference method for the quanto option pricing model
本地全文：下载
作者：Xiaozhong Yang ; Lifei Wu ; Yuying Shi 等
期刊名称：Advances in Difference Equations
印刷版ISSN：1687-1839
电子版ISSN：1687-1847
出版年度：2015
卷号：2015
期号：1
页码：311
DOI：10.1186/s13662-015-0643-z
语种：English
出版社：Hindawi Publishing Corporation
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.
关键词：quanto options pricing model ; alternating band Crank-Nicolson (ABdC-N) scheme ; stability ; parallel computing ; numerical experiments