Abstract
In this paper we propose an explicit and implicit tailored finite point (EITFP) method for solving a finance object—the European option pricing. We derive a diffusion equation from the Black–Scholes equation in dealing with both European call option and European put option. The performance of the EITFP has been compared with popular numerical schemes, and the numerical experiment shows that the EITFP is accurate. Furthermore, the EITFP is efficient for being implemented by using a multi-core parallelized acceleration with CPU and Graphics Processing Unit (GPU) for the option computation.
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References
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Lin, YT., Shih, YT., Wang, HC. (2016). An Explicit and Implicit Tailored Finite Point Method for Option Pricing Simulation. In: Qi, E. (eds) Proceedings of the 6th International Asia Conference on Industrial Engineering and Management Innovation. Atlantis Press, Paris. https://doi.org/10.2991/978-94-6239-148-2_19
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DOI: https://doi.org/10.2991/978-94-6239-148-2_19
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Online ISBN: 978-94-6239-148-2
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