Computational Database Technology Applied to Option Pricing Via Finite Differences

Autor:	Jöns Akerlund, Krister Åhlander, Kjell Orsborn
Rok vydání:	2006
Předmět:	Mathematical model Database Valuation of options Computer science Scalability Data field Information system Database theory computer.software_genre Database design computer Database testing
Zdroj:	Advances in Databases and Information Systems ISBN: 9783540378990 ADBIS
DOI:	10.1007/11827252_28
Popis:	Computational database technology spans the two research fields data-base technology and scientific computing. It involves development of database capabilities that support computational-intensive applications found in science and engineering. This includes support for representing and processing of mathematical models within the database environment without any significant performance loss compared to conventional implementations. This paper describes how an existing database management system, AMOS II, is extended with capabilities to solve the Black–Scholes equation commonly used in option pricing. The numerical method used is finite differences, and a flexible database framework that can deal with complex mathematical objects and numerical methods is created. We describe how computational data representations and operations are adapted to the database management system and the approach is evaluated with respect to performance, extensibility, and ease of use.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::4a8b598d8eb3b0105c74a2f3ef433d82 https://doi.org/10.1007/11827252_28 Zobrazit plný text záznamu