We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
THE PARALLEL METHODS FOR EVALUATING A STOCHASTIC EQUATION.
- Authors
Smeureanu, Ion; Fanache, Dumitru
- Abstract
The article focuses on a study which presented parallel methods for evaluating a stochastic equation. It introduces Black-Scholes model which is based on the geometric Brownian motion model of asset price. It explores the illustration of parallel algorithms applied to the model including parallel solution with odd-even cyclic reduction method and parallel solution with forward Euler method showing derivation of sequential algorithms. It presents numerical solutions using a parallelized domain decomposition method and a graphical illustration that shows that parallel execution time decreases if the number of processors increases.
- Subjects
PARALLEL algorithms; DIFFERENTIAL equations; STOCHASTIC processes; BROWNIAN motion; EULER method; DECOMPOSITION method; MATHEMATICAL programming; EULERIAN graphs; NUMERICAL analysis
- Publication
Economic Computation & Economic Cybernetics Studies & Research, 2009, Vol 43, Issue 2, p1
- ISSN
0424-267X
- Publication type
Article