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
Related Articles
- EP ID EP134224
- DOI -
- Views 207
- Downloads 0
THE PROBABILISTIC STABILITY FOR THE GAMMA FUNCTIONAL EQUATION
We obtain a stability result for the Baker functional equation, in the setting of probabilistic quasi-metric spaces. As a particular case, we discuss the probabilistic stability of the Gamma functional equation.
NEW GENERALIZATIONS AND NEW APPROACHES FOR TWO IMO PROBLEMS
Success in problem solving requires effort. These are not routine exercises. They are problems whose solutions depend of trying something new (like approaches and generalization for IMO problems).This article presents so...
THE POSITION VECTOR OF A POINT EXERCISES
The vectorial method is is applicable for studying a large class of properties of the euclidian space (coliniariy, coplanarity, parallelism, perpendicularity, calculation of angles, distances, volumes etc).
THE ANALYSIS OF THE INTERFACIAL INSTABILITY CONDITIONS IN SYSTEMS<br /> LIQUID STEEL- REFINING SLAG
As consequences of the increasing needs of high quality steel products, besides the improvements of the actual technologies, applied in steel refining process using slugs a special attention is paid t...
A NUMERICAL SOLUTION FOR AN INITIAL VALUE PROBLEM FOR ODE USING ARTIFICIAL NEURAL NETWORK
Artificial Neural Network (ANN) proved to be good tools for functions approximation Starting from this idea the article present a method for the approximating the solution of an initial value problem for ordinary differe...