A distributed algorithm for European options with nonlinear volatility
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. (c) 2005 Elsevier Ltd. All rights reserved.
nonlinear volatility black-scholes equation option pricing finite-difference schemes