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The Cyclic Odd-Even Reduction Method Applied in Mathematical Finance

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  • Dumitru FANACHE
  • Ion SMEUREANU

    ()

Abstract

In 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.

Suggested Citation

  • Dumitru FANACHE & Ion SMEUREANU, 2008. "The Cyclic Odd-Even Reduction Method Applied in Mathematical Finance," Informatica Economica, Academy of Economic Studies - Bucharest, Romania, vol. 0(3), pages 115-119.
  • Handle: RePEc:aes:infoec:v:xii:y:2008:i:3:p:115-119
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    File URL: http://www.revistaie.ase.ro/content/47/21Smeureanu,%20Fanache.pdf
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    References listed on IDEAS

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    1. 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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