Synchronous and asynchronous distributed computing for financial option pricing

Authors:
Thierry Garcia;Ming Chau;Pierre Spiteri
Affiliations:
INP, ENSEEIHT, IRIT, Toulouse Cedex, France;Advanced Solutions Accelerator, Castelnau le Lez, France;INP, ENSEEIHT, IRIT, Toulouse Cedex, France
Venue:
ICCSA'11 Proceedings of the 2011 international conference on Computational science and its applications - Volume Part II
Year:
2011

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Abstract

This paper deals with the numerical solution of financial applications, more specifically the computation of American and European options derivatives modeled by boundary value problems. In such applications we have to solve large-scale algebraic linear systems. We concentrate on synchronous and asynchronous parallel iterative algorithms carried out on Grid'5000, by using an experimental peer-to-peer platform. The properties of the operators arising in the discretized problem ensure the convergence of the parallel iterative synchronous and asynchronous algorithms. Different detection convergence algorithms are tested for asynchronous iterations. Computational experiments performed on distributed architectures are presented and analyzed.