A new kind of parallel finite difference method for the quanto option pricing model

The quanto option pricing model is an important financial derivatives pricing model; it is a two-dimensional Black-Scholes (B-S) equation with a mixed derivative term. The research of its numerical solutions has theoretical value and practical application significance. An alternating band Crank-Nicolson (ABdC-N) difference scheme for solving the quanto options pricing model was constructed. It is constituted of the classical implicit scheme, the explicit scheme and the Crank-Nicolson scheme, it has the following advantages: parallelism, high precision, and unconditional stability. Numerical experiments and theoretical analysis all show that ABdC-N scheme can be used to solve the quanto options pricing problems effectively.