Asynchronous Iterations of Parareal Algorithm for Option Pricing Models

Abstract : Spatial domain decomposition methods have been largely investigated in the last decades, while time domain decomposition seems to be contrary to intuition and so is not as popular as the former. However, many attractive methods have been proposed, especially the parareal algorithm, which showed both theoretical and experimental efficiency in the context of parallel computing. In this paper, we present an original model of asynchronous variant based on the parareal scheme, applied to the European option pricing problem. Some numerical experiments are given to illustrate the convergence performance and computational efficiency of such a method. View Full-Text
Type de document :
Article dans une revue
Applied Mathematics, Scientific Research Publishing, 2018, 6 (4), 〈10.3390/math6040045〉
Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-01741114
Contributeur : Frédéric Magoulès <>
Soumis le : jeudi 22 mars 2018 - 16:39:44
Dernière modification le : vendredi 29 juin 2018 - 11:40:31

Lien texte intégral

Identifiants

Citation

Frédéric Magoulès, Guillaume Gbikpi-Benissan, Qinmeng Zou. Asynchronous Iterations of Parareal Algorithm for Option Pricing Models. Applied Mathematics, Scientific Research Publishing, 2018, 6 (4), 〈10.3390/math6040045〉. 〈hal-01741114〉

Partager

Métriques

Consultations de la notice

116