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| Titel: |
PARALLEL PSEUDOSPECTRAL SOLUTION OF FINANCIAL PARTIAL DIFFERENTIAL EQUATIONS |
| Auteur: |
Bunnin, F. O. Guo, Y. Ren, Y. Darlington, J. |
| Verschenen in: |
International journal of parallel, emergent and distributed systems |
| Paginering: | Jaargang 15 (2000) nr. 1-2 pagina's 3-13 |
| Jaar: |
2000-06-01 |
| Inhoud: |
We apply the Pseudospectral method to two fundamental financial equations: the Black-Scholes equation and the Cox Ingersoil Ross model of the term structure of interest rates. The former is used to price a European Call Option and the latter to price a zero coupon bond. Chebyshev polynomials are used as the basis functions and Chebyshev collocation points for the space discretisation. The Crank-Nicolson scheme is used for the time differencing. We have developed a C++ program to solve general second order linear parabolic equations, A parallel quasi-minimal residual version of the Bi-Conjugate Gradient stabilised algorithm is applied to solve the linear system on the AP3000, a parallel computer. The regular space domain and the smooth solutions often encountered in finance suggest the suitability of using this higher order technique. |
| Uitgever: |
Taylor & Francis |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
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