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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-03-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-7390/6/4/45 |