(Національна академія управління, Київ, 2017) Shvachych, GG; Kholod, OG; Fedorov, EE
The study is an attempt to solve one of priority tasks in financial mathematics, namely, definition
of arbitrage-free option prices. Herein, differential of European-style option price model is
based on the Black-Scholes equation. Using a priori information about the smoothness of a solution,
great attention is paid to construction of high-accuracy solutions. The proposed approach
eliminates the recurrent structure calculations for desired vectors' decisions which leads to accumulation
of rounding errors. Parallel form of the algorithm is the maximum, and therefore
demands the shortest possible time for implementation on parallel computing systems