Asynchronous Iterations of Parareal Algorithm for Option Pricing Models

Frédéric Magoulès (1) , Guillaume Gbikpi-Benissan (2) , Qinmeng Zou (1)

1 MICS - Mathématiques et Informatique pour la Complexité et les Systèmes
2 IRT SystemX

Spatial domain decomposition method has been largely investigated in the last several decades, while time decomposition seems against intuition, which is not as popular as the former. However, there are still many attractive methods being proposed, especially the parareal algorithm, which shows both theoretical and experimental efficiency in the context of parallel computing. In this paper, we present an original model of asynchronous variant based on parareal scheme, applied to the European option pricing problem. Some numerical experiments are given to illustrate the convergence performance and computational efficiency of such method.

Mots clés: Parallel computing; asynchronous iterations; parareal method; European options; domain decomposition; time-dependent problems

Domaines: Mathématiques [math]; Informatique [cs]

Frédéric Magoulès, Guillaume Gbikpi-Benissan, Qinmeng Zou. Asynchronous Iterations of Parareal Algorithm for Option Pricing Models. Mathematics , 2018, 6 (4), pp.45. ⟨10.3390/math6040045⟩. ⟨hal-01741114v2⟩