异步平行算法在欧式期权定价中的应用

2017 16th International Symposium on Distributed Computing and Applications to Business, Engineering and Science (DCABES) Pub Date : 2017-10-01 DOI:10.1109/dcabes.2017.15

Qinmeng Zou, Guillaume Gbikpi Benissan, F. Magoulès

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引用次数: 3

摘要

如果想要在最小化空闲时间的情况下解决大型问题，那么在并行计算中自然会出现异步迭代。本文提出了一种时域分解方法的原始异步迭代模型，即拟面法。本文将异步平行算法应用于欧式期权定价，并在并行超级计算机上进行了数值实验，验证了该方法的性能和效率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Asynchronous Parareal Algorithm Applied to European Option Pricing

Asynchronous 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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来源期刊

2017 16th International Symposium on Distributed Computing and Applications to Business, Engineering and Science (DCABES)

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