The Cyclic Odd-Even Reduction Method Applied in Mathematical Finance
AbstractIn this paper is presented a possibility to reduce execution time involved in evaluating a financial option by means finite difference scheme, using a cyclic odd-even reduction technique on a coarse-grained parallel model.
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Bibliographic InfoArticle provided by Academy of Economic Studies - Bucharest, Romania in its journal Informatica Economica.
Volume (Year): XII (2008)
Issue (Month): 3 ()
coarse grained multicomputer; parallel algorithm; tridiagonal linear system; band matrices; odd-even cyclic reduction algorithm.;
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- Dumitru FANACHE & Ion SMEUREANU, 2008. "A Linear Algorithm for Black Scholes Economic Model," Informatica Economica, Academy of Economic Studies - Bucharest, Romania, vol. 0(1), pages 150-156.
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