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Asynchronous Parareal Algorithm Applied to European Option Pricing (1907.01198v1)
Published 2 Jul 2019 in cs.DC
Abstract: Asynchronous iterations arise naturally in parallel computing if one wants to solve large problems with a minimization of the idle times. This paper presents an original model of asynchronous iterations for a time-domain decomposition method, namely the parareal method. The asynchronous parareal algorithm is here applied to European option pricing, and numerical experiments performed on a parallel supercomputer, illustrate the performance and efficiency of this new method.