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Conference Papers Year : 2011

Synchronous and Asynchronous Distributed Computing for Financial Option Pricing

Abstract

This paper deals with the numerical solution of financial applications, more specifically the computation of American and European options derivatives modeled by boundary value problems. In such applications we have to solve large-scale algebraic linear systems. We concentrate on synchronous and asynchronous parallel iterative algorithms carried out on Grid’5000, by using an experimental peer-to-peer platform. The properties of the operators arising in the discretized problem ensure the convergence of the parallel iterative synchronous and asynchronous algorithms. Different detection convergence algorithms are tested for asynchronous iterations. Computational experiments performed on distributed architectures are presented and analyzed.

Dates and versions

hal-01588521 , version 1 (15-09-2017)

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Thierry Garcia, Ming Chau, Pierre Spitéri. Synchronous and Asynchronous Distributed Computing for Financial Option Pricing. International Conference on Computational Science and Its Applications (ICCSA 2011), Jun 2011, Santander, Spain. pp.664--679, ⟨10.1007/978-3-642-21887-3_50⟩. ⟨hal-01588521⟩
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