A highly parallel Black--Scholes solver based on adaptive sparse grids
DOI10.1080/00207160.2012.690865zbMATH Open1255.91448OpenAlexW2101029376MaRDI QIDQ4903544FDOQ4903544
Authors: Alexander Heinecke, Stefanie Schraufstetter, Hans-Joachim Bungartz 
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
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Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Financial applications of other theories (91G80) PDEs in connection with computer science (35Q68)
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Cited In (10)
- DGM: a deep learning algorithm for solving partial differential equations
- Option pricing with a direct adaptive sparse grid approach
- Performance evaluation of OpenMP-based algorithms for handling Kronecker descriptors
- A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation
- Title not available (Why is that?)
- On the parallel solution of stochastic parabolic equation
- Parallel algorithm for solving the Black-Scholes equation
- A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
- Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation
- Title not available (Why is that?)
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