Journal of Liaoning Petrochemical University
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An American Option Pricing Method Based on Parallel Computing
ZHU Danmei, HUANG Chunyu
Abstract391)      PDF (1082KB)(205)      
American option pricing is one of the important research topics in today's finance. Because American option can be performed early, its pricing is much more difficult than European option pricing. The semiimplicit scheme was converted to explicit scheme of easy parallel computing by using the finite difference method and converting to Saul'ev format. Finally, an American option pricing method was constructed with convenient calculation, and the convergence and unconditional stability of this difference scheme was verified. 
2013, 33 (2): 85-87.