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A distributed algorithm for European options with nonlinear volatility

  • Published:2005-04 Issue:5-6 Volume:49 Page:885-894
  • ISSN:0898-1221
  • Container-title:Computers & Mathematics with Applications
  • language:en
  • Short-container-title:Computers & Mathematics with Applications

Author:

Lai C.-H.,Parrott A.K.,Rout S.,Honnor M.E.

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modelling and Simulation

Reference8 articles.

1. The Laplace transform: Numerical inversion for computational methods;Crann,1996

2. Time domain decomposition for European options in financial modelling;Crann,1998

3. The Mathematics of Financial Derivatives;Wilmott,1973

4. The Laplace Transform;Widder,1946

5. Numerical inversion of Laplace transforms;Stehfest;Comm ACM,1970

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