Financial computing continuously demands higher computing performance, which can no longer be accomplished by simply increasing clock speed. Cluster and grid infrastructures grow, their cost of ownership explodes. Over the past twenty years, financial computing […]
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In this article we apply the ADE method to a number of partial differential equations in option pricing using one-factor models (Black–Scholes, local volatility, uncertain volatility). We first give an introduction to ADE. We discuss […]