A highly parallel Black–Scholes solver based on adaptive sparse grids

DOI10.1080/00207160.2012.690865zbMath1255.91448MaRDI QIDQ4903544

Hans-Joachim Bungartz, Alexander Heinecke, 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

zbMATH Keywords

parallelization; adaptive sparse grids; Black--Scholes PDE; distributed/shared memory systems; OpenMP/MPI

Mathematics Subject Classification ID

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

Related Items

Performance evaluation of OpenMP-based algorithms for handling Kronecker descriptors, Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation

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