Asynchronous iterations of parareal algorithm for option pricing models

DOI10.3390/MATH6040045MaRDI QIDQ1649119zbMATH OpenOpenAlexWikidataFDO

Authors Guillaume Gbikpi-Benissan, Qinmeng Zou, Frédéric Magoulès

Publication date 5 July 2018

Published in Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

European optionsdomain decompositionparallel computingtime-dependent problemsparareal methodasynchronous iterations

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 51132 (Why is no real title available?)
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• Time-decomposed parallel time-integrators: theory and feasibility studies for fluid, structure, and fluid-structure applications
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Cited in

(4)

• Asynchronous time-parallel method based on Laplace transform
• Asynchronous parareal time discretization for partial differential equations
• Asynchronous Truncated Multigrid-Reduction-in-Time
• Asynchronous iterations of HSS method for non-Hermitian linear systems

Describes a project that uses

Uses Software

• JaceP2P
• Alinea
• JACK
• JaceV
• NewtonLib

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