Hybrid parallel solutions of the Black-Scholes PDE with the truncated combination technique.

Janos Benk Dirk Pflüger

Published in: HPCS (2012)

Keyphrases

black scholes
option pricing
level set
partial differential equations
optimal solution
numerical methods
image segmentation
multiscale
pattern recognition
decision makers
high order
anisotropic diffusion
bayesian networks
long term