A highly parallel Black–Scholes solver based on adaptive sparse grids

DOI10.1080/00207160.2012.690865zbMath1255.91448OpenAlexW2101029376MaRDI QIDQ4903544

Alexander Heinecke, Hans-Joachim Bungartz, Stefanie Schraufstetter

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.690865

zbMATH Keywords

parallelizationadaptive sparse gridsBlack--Scholes PDEdistributed/shared memory systemsOpenMP/MPI

Mathematics Subject Classification ID

Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Financial applications of other theories (91G80) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50) PDEs in connection with computer science (35Q68)

Related Items (4)

Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation ⋮ Performance evaluation of OpenMP-based algorithms for handling Kronecker descriptors ⋮ A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility ⋮ DGM: a deep learning algorithm for solving partial differential equations

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