| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9662470 | Computers & Mathematics with Applications | 2005 | 10 Pages |
Abstract
A distributed algorithm is developed to solve nonlinear Black-Scholes equations in the hedging of portfolios. The algorithm is based on an approximate inverse Laplace transform and is particularly suitable for problems that do not require detailed knowledge of each intermediate time steps.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
C.-H. Lai, A.K. Parrott, S. Rout, M.E. Honnor,