| Article ID: | iaor1992631 |
| Country: | United Kingdom |
| Volume: | 19 |
| Start Page Number: | 317 |
| End Page Number: | 323 |
| Publication Date: | Jun 1991 |
| Journal: | OMEGA |
| Authors: | Bertocchi M. |
| Keywords: | finance & banking |
The paper aims to illustrate how parallel processing techniques may be used in solving option evaluation when the assumptions for using the Black and Scholes analytical formula are not satisfied. In such cases it is necessary to use numerical methods which are computationally quite expensive.