Asynchronous iterations of parareal algorithm for option pricing models
Summary: Spatial domain decomposition methods have been largely investigated in the last decades, while time domain decomposition seems to be contrary to intuition and so is not as popular as the former. However, many attractive methods have been proposed, especially the parareal algorithm, which showed both theoretical and experimental efficiency in the context of parallel computing. In this paper, we present an original model of asynchronous variant based on the parareal scheme, applied to the European option pricing problem. Some numerical experiments are given to illustrate the convergence performance and computational efficiency of such a method.
- A ``parareal in time discretization of PDE's
- A new class of asynchronous iterative algorithms with order intervals
- A parallel shooting technique for solving dissipative ODE's
- A Space-Time Multigrid Method for Parabolic Partial Differential Equations
- Asynchronous iterations with flexible communication: contracting operators
- Asynchronous Iterative Methods for Multiprocessors
- Asynchronous iterative sub-structuring methods
- Asynchronous optimized Schwarz methods with and without overlap
- Asynchronous two-stage iterative methods
- Auto-tuned Krylov methods on cluster of graphics processing unit
- Chaotic relaxation
- Distributed asynchronous computation of fixed points
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- Martingales and arbitrage in multiperiod securities markets
- On asynchronous iterations
- On stochastic differential equations
- Optimal Schwarz Waveform Relaxation for the One Dimensional Wave Equation
- Optimized Schwarz method without overlap for the gravitational potential equation on cluster of graphics processing unit
- Option pricing: A simplified approach
- Overlapping Schwarz waveform relaxation for the heat equation in \(n\) dimensions
- Parallel Iterative Algorithms
- Some convergence results for asynchronous algorithms
- THE GARCH OPTION PRICING MODEL
- The pricing of options and corporate liabilities
- The pricing of options on assets with stochastic volatilities
- Time-decomposed parallel time-integrators: theory and feasibility studies for fluid, structure, and fluid-structure applications
- Timestep Acceleration of Waveform Relaxation
- Un critère de convergence pour des méthodes générales de point fixe
- scientific article; zbMATH DE number 1218994 (Why is no real title available?)
- Asynchronous parareal time discretization for partial differential equations
- Asynchronous time-parallel method based on Laplace transform
- Asynchronous iterations of HSS method for non-Hermitian linear systems
- Asynchronous Truncated Multigrid-Reduction-in-Time
- Introducing time parallelization within data assimilation
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