Option evaluation techniques by parallel processing: A review

M Bertocchi

Omega, 1991, vol. 19, issue 4, 317-323

Abstract: The paper aims to illustrate how parallel processing techniques may be used in solving option evaluation when the assumptions for using the Black and Scholes analytical formula are not satisfied. In such cases it is necessary to use numerical methods which are computationally quite expensive.

Keywords: finance; numerical; analysis; differential; equations; parallel; processing (search for similar items in EconPapers)
Date: 1991
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