Parallelizing a black-scholes solver based on finite elements and sparse grids

Proceedings of the 2010 IEEE International Symposium on Parallel and Distributed Processing, Workshops and Phd Forum, IPDPSW 2010

Volumn , Issue , 2010, Pages

  Bungartz, Hans Joachim ^a   Heinecke, Alexander ^a   Pflüger, Dirk ^a   Schraufstetter, Stefanie ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Black Scholes; Finite elements; Multi core; OpenMP; Option pricing; Sparse grids

Indexed keywords

BLACK-SCHOLES; FINITE ELEMENT; MULTI CORE; OPTION PRICING; SPARSE GRID;

ALGORITHMS; DISCRETE EVENT SIMULATION; DISTRIBUTED PARAMETER NETWORKS; FINITE ELEMENT METHOD; PROGRAM PROCESSORS;

ECONOMICS;

EID: 77954039356     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/IPDPSW.2010.5470707     Document Type: Conference Paper

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