Geodesic
Parallel algorithm for solving the Black-Scholes equation
Kragujevac Journal of Mathematics, Tome 27 (2005), p. 91

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PARALLEL ALGORITHM FOR SOLVING THE BLACK-SCHOLES EQUATIONIoana ChioreanBabe s-Bolyai University, Faculty of Mathematics Kogalniceanu 1, 3400 Cluj-Napoca, Romania (e-mail: ioana@cs.ubbcluj.ro)(Received March 15, 2005) Abstract. The aim of this paper is to study the possibility of obtaining the numerical solution of the Black-Scholes equation in parallel, by means of several processors, using the finite difference method. A comparison between the complexity of the parallel algorithm and the serial one is given.
Classification : 65Y05 65M06 91B28
Keywords: Black-Scholes equation, parallel algorithm 
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Ioana Chiorean. Parallel algorithm for solving the Black-Scholes equation. Kragujevac Journal of Mathematics, Tome 27 (2005), p. 91 . http://geodesic.mathdoc.fr/item/KJM_2005_27_a7/