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Asynchronous Iterations of Parareal Algorithm for Option Pricing Models

Author

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  • Frédéric Magoulès

    (CentraleSupélec, Mathematics in Interaction with Computer Science Laboratory, 9 rue Joliot Curie, F-91192 Gif-sur-Yvette, France
    These authors contributed equally to this work.)

  • Guillaume Gbikpi-Benissan

    (CentraleSupélec, Mathematics in Interaction with Computer Science Laboratory, 9 rue Joliot Curie, F-91192 Gif-sur-Yvette, France
    These authors contributed equally to this work.)

  • Qinmeng Zou

    (CentraleSupélec, Mathematics in Interaction with Computer Science Laboratory, 9 rue Joliot Curie, F-91192 Gif-sur-Yvette, France
    These authors contributed equally to this work.)

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.

Suggested Citation

  • Frédéric Magoulès & Guillaume Gbikpi-Benissan & Qinmeng Zou, 2018. "Asynchronous Iterations of Parareal Algorithm for Option Pricing Models," Mathematics, MDPI, vol. 6(4), pages 1-18, March.
    • Handle: RePEc:gam:jmathe:v:6:y:2018:i:4:p:45-:d:137362
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    References listed on IDEAS

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