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Synchronous and Asynchronous Distributed Computing for Financial Option Pricing

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Computational Science and Its Applications - ICCSA 2011 (ICCSA 2011)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 6783))

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Abstract

This paper deals with the numerical solution of financial applications, more specifically the computation of American and European options derivatives modeled by boundary value problems. In such applications we have to solve large-scale algebraic linear systems. We concentrate on synchronous and asynchronous parallel iterative algorithms carried out on Grid’5000, by using an experimental peer-to-peer platform. The properties of the operators arising in the discretized problem ensure the convergence of the parallel iterative synchronous and asynchronous algorithms. Different detection convergence algorithms are tested for asynchronous iterations. Computational experiments performed on distributed architectures are presented and analyzed.

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Author information

Authors and Affiliations

  1. INP - ENSEEIHT - IRIT BP 7122, 2 Rue Camichel, F-31071, Toulouse Cedex, France

    Thierry Garcia & Pierre Spiteri

  2. Advanced Solutions Accelerator, 199 Rue de l’Oppidum, F-34170, Castelnau le Lez, France

    Ming Chau

Authors
  1. Thierry Garcia
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  2. Ming Chau
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  3. Pierre Spiteri
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Editor information

Editors and Affiliations

  1. Basilicata University Potenza, L.I.S.U.T. - D.A.P.I.T., 10, Viale dell’Ateneo Lucano, 85100, Potenza, Italy

    Beniamino Murgante

  2. Department of Mathematics and Computer Science, University of Perugia, Via Vanvitelli, 1, 06123, Perugia, Italy

    Osvaldo Gervasi

  3. Department of Applied Mathematics and Computational Sciences, University of Cantabria,, Avda. de los Castros, s/n, Santander, C.P. 39005, Spain

    Andrés Iglesias

  4. School of Business Systems, Monash University, VIC 3800, Clayton, Australia

    David Taniar

  5. Department of Intelligent Informatics, Kyushu Sangyo University, 2-3-1 Matsukadai, 813-8503, Higashi-ku, Fukuoka, Japan

    Bernady O. Apduhan

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© 2011 Springer-Verlag Berlin Heidelberg

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Garcia, T., Chau, M., Spiteri, P. (2011). Synchronous and Asynchronous Distributed Computing for Financial Option Pricing. In: Murgante, B., Gervasi, O., Iglesias, A., Taniar, D., Apduhan, B.O. (eds) Computational Science and Its Applications - ICCSA 2011. ICCSA 2011. Lecture Notes in Computer Science, vol 6783. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-21887-3_50

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  • DOI: https://doi.org/10.1007/978-3-642-21887-3_50

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-21886-6

  • Online ISBN: 978-3-642-21887-3

  • eBook Packages: Computer ScienceComputer Science (R0)

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