A highly parallel Black–Scholes solver based on adaptive sparse grids
Publication:4903544
DOI10.1080/00207160.2012.690865zbMath1255.91448MaRDI 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
parallelization; adaptive sparse grids; Black--Scholes PDE; distributed/shared memory systems; OpenMP/MPI
65N30: Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs
91G80: Financial applications of other theories
65M50: Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs
35Q68: PDEs in connection with computer science
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