Asynchronous Parareal Algorithm Applied to European Option Pricing - Archive ouverte HAL
Communication Dans Un Congrès Année : 2017

Asynchronous Parareal Algorithm Applied to European Option Pricing

Qinmeng Zou
  • Fonction : Auteur
Frédéric Magoulès

Résumé

synchronous 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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Dates et versions

hal-01719879 , version 1 (01-07-2019)

Identifiants

Citer

Qinmeng Zou, Guillaume Gbikpi-Benissan, Frédéric Magoulès. Asynchronous Parareal Algorithm Applied to European Option Pricing. 2017 16th International Symposium on Distributed Computing and Applications to Business, Engineering and Science (DCABES), Oct 2017, Anyang, China. ⟨10.1109/DCABES.2017.15⟩. ⟨hal-01719879⟩
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