Asynchronous Parareal Algorithm Applied to European Option Pricing - CentraleSupélec
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.
Fichier principal
Vignette du fichier
paper.pdf (329.01 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

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⟩
110 Consultations
59 Téléchargements

Altmetric

Partager

More