Asynchronous grid computation for American options derivatives-Reference-Cited by-同舟云学术

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Asynchronous grid computation for American options derivatives

Published:2013-06 Issue: Volume:60-61 Page:136-144
ISSN:0965-9978
Container-title:Advances in Engineering Software
language:en
Short-container-title:Advances in Engineering Software

Author:

Chau M.,Couturier R.,Bahi J.,Spiteri P.

Publisher

Elsevier BV

Subject

General Engineering,Software

Reference26 articles.

1. Option pricing – mathematical models and computation;Wilmott,1993

2. Approximation numérique des équations de Hamilton–Jacobi–Bellman;Lions;R.A.I.R.O. Analyse numérique,1980

3. Matrix iterative analysis;Varga,1962

4. Un critère de convergence pour des méthodes générales de point fixe;Miellou;M2 AN,1985

5. Two criteria for the convergence of asynchronous iterations;Miellou,1985

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2. Parallel Ant Colony Algorithm for Shortest Path Problem;Periodica Polytechnica Civil Engineering;2019-01-28

3. Asynchronous iterative sub-structuring methods;Mathematics and Computers in Simulation;2018-03

4. Grid solution of problem with unilateral constraints;Numerical Algorithms;2016-11-02

5. Parallel solution of the modified porous medium equation;Computers & Mathematics with Applications;2016-02

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