Asynchronous Parareal Algorithm Applied to European Option Pricing
Zou, Qinmeng ; Gbikpi-Benissan, Guillaume ; Magoulès, Frédéric
HAL, hal-01719879 / Harvested from HAL
Text on HAL
International audience
Publié le : 2017-10-13
Classification:  [MATH]Mathematics [math],  [MATH.MATH-NA]Mathematics [math]/Numerical Analysis [math.NA],  [INFO.INFO-DC]Computer Science [cs]/Distributed, Parallel, and Cluster Computing [cs.DC] 
@article{hal-01719879,
     author = {Zou, Qinmeng and Gbikpi-Benissan, Guillaume and Magoul\`es, Fr\'ed\'eric},
     title = {Asynchronous Parareal Algorithm Applied to European Option Pricing},
     journal = {HAL},
     volume = {2017},
     number = {0},
     year = {2017},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-01719879}
}

Zou, Qinmeng; Gbikpi-Benissan, Guillaume; Magoulès, Frédéric. Asynchronous Parareal Algorithm Applied to European Option Pricing. HAL, Tome 2017 (2017) no. 0, . http://gdmltest.u-ga.fr/item/hal-01719879/