Asynchronous time-parallel method based on Laplace transform

DOI10.1080/00207160.2020.1737029zbMath1480.65372arXiv1909.01473OpenAlexW3006689872MaRDI QIDQ5031239

Frédéric Magoulès, Qinmeng Zou

Publication date: 18 February 2022

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

Full work available at URL: https://arxiv.org/abs/1909.01473

zbMATH Keywords

Laplace transformoption pricingparallel computingquasilinear equationasynchronous iterationsGaver-Stehfest algorithm

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical methods for integral transforms (65R10)

Uses Software

• JACK
• Alinea

Cites Work

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