Asynchronous Iterations of Parareal Algorithm for Option Pricing Models

Asynchronous Iterations of Parareal Algorithm for Option Pricing Models

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...

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Bibliographic Details
Main Authors: Frédéric Magoulès, Guillaume Gbikpi-Benissan, Qinmeng Zou
Format: Article
Language:English
Published: MDPI AG 2018-03-01
Series:Mathematics
Subjects:
parallel computing
asynchronous iterations
parareal method
European options
domain decomposition
time-dependent problems
Online Access:http://www.mdpi.com/2227-7390/6/4/45

Internet

http://www.mdpi.com/2227-7390/6/4/45

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