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Asynchronous Communications Library for the Parallel-in-Time Solution of Black-Scholes Equation

Qinmeng Zou Guillaume Gbikpi-Benissan 1 Frédéric Magoulès 2
1 IRT SystemX - IRT SystemX
2 MICS - Mathématiques et Informatique pour la Complexité et les Systèmes
Keywords : option pricing time domain decomposition parallel computing parareal method asynchronous iterative algorithms
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https://hal.archives-ouvertes.fr/hal-01719874
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Submitted on : Monday, July 1, 2019 - 12:46:21 PM
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IRT-SYSTEMX | TDS-MACS | INSMI | CENTRALESUPELEC | MICS | GS-COMPUTER-SCIENCE | GS-ENGINEERING

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Qinmeng Zou, Guillaume Gbikpi-Benissan, Frédéric Magoulès. Asynchronous Communications Library for the Parallel-in-Time Solution of Black-Scholes Equation. 2017 16th International Symposium on Distributed Computing and Applications to Business, Engineering and Science (DCABES), Oct 2017, Anyang, China. ⟨10.1109/DCABES.2017.17⟩. ⟨hal-01719874⟩

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