MAXIMALLY PARALLEL FORMS OF DISTRIBUTED SIMULATION OF DYNAMIC SYSTEMS
Journal Title: World Science - Year 2018, Vol 1, Issue 4
Abstract
The paper is devoted to solve one of priority problems in financial mathematics, namely the definition of arbitrage-free option prices. Herein, differential of the European-style option price simulation is based on the Black–Scholes equation. Using a priori information about the solution smoothness, great attention is paid to the construction of high-accuracy solutions. The proposed approach eliminates recurrent structure calculations for desired vectors' decisions which lead to the accumulation of rounding errors. Parallel form of the algorithm is the maximum, and therefore demands the shortest possible time for implementation on parallel computing systems.
Authors and Affiliations
G. G. Shvachych, B. I. Moroz, I. A. Pobochii, O. V. Ivaschenko, V. V. Busygin
Keywords
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