Asynchronous grid computation for American options derivatives

Authors:
M. Chau;R. Couturier;J. Bahi;P. Spiteri
Affiliations:
Advanced Solutions Accelerator, 199 rue de l'Oppidum, 34170 Castlenau le Lez, France;FEMTO-ST INSTITUTE, IUT Belfort-Montbéliard, Rue Engel Gros, BP 527, 90016 Belfort cedex, France;FEMTO-ST INSTITUTE, IUT Belfort-Montbéliard, Rue Engel Gros, BP 527, 90016 Belfort cedex, France;ENSEEIHT-IRIT, 2 rue Charles Camichel, 31071 Toulouse Cedex, France
Venue:
Advances in Engineering Software
Year:
2013

Citing 11
Cited 0

Asynchronous iterations and order intervals

Proceedings of the international workshop on Parallel algorithms & architectures
Parallel and distributed computation: numerical methods

Parallel and distributed computation: numerical methods
A new class of asynchronous iterative algorithms with order intervals

Mathematics of Computation
Asynchronous Iterative Methods for Multiprocessors

Journal of the ACM (JACM)
Interoperability parallel programs approach to simulate 3D frontal polymerization processes

Parallel Computing
A parallel adaptive coupling algorithm for systems of differential equations

Journal of Computational Physics
An additive Schwarz method for variational inequalities

Mathematics of Computation
Parallel Asynchronous Richardson Method for the Solution of Obstacle Problem

HPCS '02 Proceedings of the 16th Annual International Symposium on High Performance Computing Systems and Applications
Efficient metacomputing of elliptic linear and non-linear problems

Journal of Parallel and Distributed Computing - Special issue on computational grids
Grid'5000: A Large Scale And Highly Reconfigurable Experimental Grid Testbed

International Journal of High Performance Computing Applications
Parallel Iterative Algorithms: From Sequential to Grid Computing (Chapman & Hall/Crc Numerical Analy & Scient Comp. Series)

Parallel Iterative Algorithms: From Sequential to Grid Computing (Chapman & Hall/Crc Numerical Analy & Scient Comp. Series)

Quantified Score

Hi-index	0.00

Visualization

Abstract

In relation with the mathematics of financial applications, the present study deals with the solution of the time dependent obstacle problem defined in a three-dimensional domain; this problem arises in the pricing of American options derivatives. In order to solve very quickly large scale algebraic systems derived from the discretization of the obstacle problem, the parallelization of the numerical algorithm is necessary. So, we present parallel synchronous, and more generally asynchronous, iterative algorithms to solve this problem. For the considered problem, arguments implying the convergence of parallel synchronous and asynchronous algorithms are given in a general framework. Finally, computational experiments on GRID'5000, the French national grid, are presented and analyzed. They allow us to compare both synchronous and asynchronous versions with local and distributed clusters and to show the interest of such methods in the context of grid computing.