The Cyclic Odd-Even Reduction Method Applied in Mathematical Finance
In this paper is presented a possibility to reduce execution time involved in evaluating a financial option by means finite difference scheme, using a cyclic odd-even reduction technique on a coarse-grained parallel model.
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Inforec Association
2008-01-01
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| Series: | Informatică economică |
| Subjects: | |
| Online Access: | http://www.revistaie.ase.ro/content/47/21Smeureanu,%20Fanache.pdf |