Parallel option price valuations with the explicit finite difference method
DOI10.1007/S10766-009-0126-5zbMATH Open1187.68695OpenAlexW2032473738MaRDI QIDQ2268757FDOQ2268757
Authors: A. V. Gerbessiotis 
Publication date: 9 March 2010
Published in: International Journal of Parallel Programming (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10766-009-0126-5
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parallel algorithmparallel computingparallel programmingperformance analysisBSP modelexplicit finite difference methodlatency tolerant algorithmsoption valuations
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Cites Work
Cited In (8)
- An efficient parallel implementation of a lattice pricing model
- Experiences in the pricing of trivariate contingent claims with finite difference methods on a massively parallel computer
- On the acceleration of explicit finite difference methods for option pricing
- Simulation of multi-option pricing on distributed computing
- Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences
- The parareal algorithm for American options
- High-accuracy finite-difference methods for the valuation of options
- Trinomial-tree Based Parallel Option Price Valuations
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