Asynchronous Parareal Algorithm Applied to European Option Pricing

07/02/2019

∙

by   Qinmeng Zou, et al.

∙

0

∙

share

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.