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Synchronous and Asynchronous Distributed Computing for Financial Option Pricing

  • Thierry Garcia
  • Ming Chau
  • Pierre Spiteri
Part of the Lecture Notes in Computer Science book series (LNCS, volume 6783)

Abstract

This paper deals with the numerical solution of financial applications, more specifically the computation of American and European options derivatives modeled by boundary value problems. In such applications we have to solve large-scale algebraic linear systems. We concentrate on synchronous and asynchronous parallel iterative algorithms carried out on Grid’5000, by using an experimental peer-to-peer platform. The properties of the operators arising in the discretized problem ensure the convergence of the parallel iterative synchronous and asynchronous algorithms. Different detection convergence algorithms are tested for asynchronous iterations. Computational experiments performed on distributed architectures are presented and analyzed.

Keywords

Parallel asynchronous algorithms distributed computing iterative numerical methods European options derivatives American options derivatives 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  • Thierry Garcia
    • 1
  • Ming Chau
    • 2
  • Pierre Spiteri
    • 1
  1. 1.INP - ENSEEIHT - IRIT BP 7122Toulouse CedexFrance
  2. 2.Advanced Solutions AcceleratorCastelnau le LezFrance

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