Asynchronous iterations arise naturally in parallel computing if one wants to solve large problems with a minimization of the idle times. This paper presents an original model of asynchronous iterations for a time-domain decomposition method, namely the parareal method. The asynchronous parareal algorithm is here applied to European option pricing, and numerical experiments performed on a parallel supercomputer, illustrate the performance and efficiency of this new method.
@article{arxiv.1907.01198,
title = {Asynchronous Parareal Algorithm Applied to European Option Pricing},
author = {Qinmeng Zou and Guillaume Gbikpi-Benissan and Frederic Magoules},
journal= {arXiv preprint arXiv:1907.01198},
year = {2019}
}