The algebraic eigenvalue problem
The algebraic eigenvalue problem
Spectral methods in time for parabolic problems
SIAM Journal on Numerical Analysis
The symmetric eigenvalue problem
The symmetric eigenvalue problem
A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
International Journal of Computer Mathematics - SPECIAL ISSUE ON FINANCIAL DERIVATIVES
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We propose new parallel algorithms for the solution of linear parabolic problems. The first of these methods is based on using polynomial approximation to the exponential. It does not require solving any linear systems and is highly parallelizable. The two other methods proposed are based on Padé and Chebyshev approximations to the matrix exponential. The parallelization of these methods is achieved by using partial fraction decomposition techniques to solve the resulting systems and thus offers the potential for increased time parallelism in time dependent problems. We also present experimental results from the Alliant FX/8 and the Cray Y-MP/832 vector multiprocessors.