Asynchronous parareal algorithm applied to european option pricing
Q Zou, G Gbikpi-Benissan… - 2017 16th International …, 2017 - ieeexplore.ieee.org
2017 16th International Symposium on Distributed Computing and …, 2017•ieeexplore.ieee.org
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.
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.
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.
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