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. © 2011 Springer-Verlag.
CITATION STYLE
Garcia, T., Chau, M., & Spiteri, P. (2011). Synchronous and Asynchronous Distributed Computing for Financial Option Pricing. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 6783 LNCS, pp. 664–679). https://doi.org/10.1007/978-3-642-21887-3_50
Mendeley helps you to discover research relevant for your work.