Asynchronous Iterations of Parareal Algorithm for Option Pricing Models

Frédéric Magoulès, Guillaume Gbikpi-Benissan and Qinmeng Zou
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Frédéric Magoulès: CentraleSupélec, Mathematics in Interaction with Computer Science Laboratory, 9 rue Joliot Curie, F-91192 Gif-sur-Yvette, France
Guillaume Gbikpi-Benissan: CentraleSupélec, Mathematics in Interaction with Computer Science Laboratory, 9 rue Joliot Curie, F-91192 Gif-sur-Yvette, France
Qinmeng Zou: CentraleSupélec, Mathematics in Interaction with Computer Science Laboratory, 9 rue Joliot Curie, F-91192 Gif-sur-Yvette, France

Mathematics, 2018, vol. 6, issue 4, 1-18

Abstract: Spatial domain decomposition methods have been largely investigated in the last decades, while time domain decomposition seems to be contrary to intuition and so is not as popular as the former. However, many attractive methods have been proposed, especially the parareal algorithm, which showed both theoretical and experimental efficiency in the context of parallel computing. In this paper, we present an original model of asynchronous variant based on the parareal scheme, applied to the European option pricing problem. Some numerical experiments are given to illustrate the convergence performance and computational efficiency of such a method.

Keywords: parallel computing; asynchronous iterations; parareal method; European options; domain decomposition; time-dependent problems (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2018
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