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Parallelizing a Black-Scholes solver based on finite elements and sparse grids

  • Published:2012-03-28 Issue:9 Volume:26 Page:1640-1653
  • ISSN:1532-0626
  • Container-title:Concurrency and Computation: Practice and Experience
  • language:en
  • Short-container-title:Concurrency Computat.: Pract. Exper.

Author:

Bungartz H.-J.1,Heinecke A.1,Pflüger D.1,Schraufstetter S.1

Affiliation:

1. Institut für Informatik; Technische Universität München; Boltzmannstraße 3 85748 Garching Germany

Publisher

Wiley

Subject

Computational Theory and Mathematics,Computer Networks and Communications,Computer Science Applications,Theoretical Computer Science,Software

Reference20 articles.

1. An introduction to Theta-calculus;Dirnstorfer;SSRN eLibrary,2005

2. Notes on Numerical Fluid Mechanics;Zenger,1991

3. Sparse grids;Bungartz;Acta Numerica,2004

4. Sparse finite element methods for operator equations with stochastic data;Petersdorff;Applications of Mathematics,2006

Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Generalized Finite Integration Method with Laplace transform for European option pricing under Black–Scholes and Heston models;Engineering Analysis with Boundary Elements;2024-07

2. Fast Sparse Grid Operations Using the Unidirectional Principle: A Generalized and Unified Framework;Lecture Notes in Computational Science and Engineering;2021

3. Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation;Advances in Computational Mathematics;2015-05-20

4. Special issue on computational finance;Concurrency and Computation: Practice and Experience;2014-03-06
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