Asynchronous iterations of parareal algorithm for option pricing models

DOI10.3390/math6040045zbMath1390.91323OpenAlexW2790360668MaRDI QIDQ1649119

Qinmeng Zou, Guillaume Gbikpi-Benissan, Frédéric Magoulès

Publication date: 5 July 2018

Published in: Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/math6040045

zbMATH Keywords

domain decompositionparallel computingEuropean optionstime-dependent problemsparareal methodasynchronous iterations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)

Related Items (4)

Asynchronous time-parallel method based on Laplace transform ⋮ Asynchronous Parareal Time Discretization For Partial Differential Equations ⋮ Asynchronous iterations of HSS method for non-Hermitian linear systems ⋮ Asynchronous Truncated Multigrid-Reduction-in-Time

Uses Software

• NewtonLib
• JaceV
• JACK
• Alinea
• JaceP2P

Cites Work

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