Asynchronous Parareal Algorithm Applied to European Option Pricing
Abstract
Asynchronous iterations arise naturally in parallel computing if one wants to solve large problems with a minimization of the idle times. This paper presents an original model of asynchronous iterations for a time-domain decomposition method, namely the parareal method. The asynchronous parareal algorithm is here applied to European option pricing, and numerical experiments performed on a parallel supercomputer, illustrate the performance and efficiency of this new method.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.