Two Parallel Solutions of Black-Scholes Equation

In our paper we build a reccurence from Black-Scholes equation and discretization of domain. From reccurencewe build 3 algorithms: one for a serial machine (A1), one for aPRAM parallel machine (A2) and one for message based parallelmachine (A3).

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Bibliographic Details
Published in:Journal of applied computer science & mathematics 2009-01, Vol.3 (5), p.33-45
Main Authors: Mirela Danubianu, Tiberiu Socaciu
Format: Article
Language:English
Subjects:
Black-scholes PDE
domain discretization
Online Access:Get full text
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Description
Summary:In our paper we build a reccurence from Black-Scholes equation and discretization of domain. From reccurencewe build 3 algorithms: one for a serial machine (A1), one for aPRAM parallel machine (A2) and one for message based parallelmachine (A3).
ISSN:2066-4273
2066-3129