ON THE PARALLEL SOLUTION OF STOCHASTIC PARABOLIC<br /> EQUATION
Journal Title: Journal of Science And Arts - Year 2008, Vol 8, Issue 1
Abstract
The pricing of options is a very important problem encountered in financial domain. The famous Black-Scholes model provides explicit closed form solution for the values of certain (European style) call and put options. But for many other options, either there are no closed form solution, or if such closed form solutions exist, the formulas exhibiting them are complicated and difficult to evaluate accurately by conventional methods. To aim of this paper is to study the possility of obtaining the numerical solution of the Black-Scholes equation in parallel, by means of several processors, using the finite difference method. A comparison between the complexity of the parallel algorithm and the serial one is given.
Authors and Affiliations
DUMITRU FANACHE
Keywords
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