| Paper title: |
Two Parallel Solutions of Black-Scholes Equation |
| Published in: | Issue 1, (Vol. 3) / 2009 |
| Publishing date: | 2009-04-14 |
| Pages: | 33-45 |
| Author(s): | Socaciu Tiberiu, Danubianu Mirela |
| Abstract. | In our paper we build a reccurence from Black-Scholes equation and discretization of domain. From reccurence we build 3 algorithms: one for a serial machine (A1), one for a PRAM parallel machine (A2) and one for message based parallel machine (A3). |
| Keywords: | Black-scholes PDE, Domain Discretization. |
| References: | 1. Fischer Black, Myron Scholes, The Pricing of Options and Corporate Liabilities, in Journal of Political Economy, 81 (3), 1973, pp. 637–654. 2. Dan Garbea, Analiza cu elemente finite, Editura Tehnica, Bucuresti, 1990. 3. Sonia Petrila, Tudor Mihoc, Titus Petrila, Culegere de algoritmi numerici si computationali in probleme practice, Vasile Goldis University Press, Arad, 2004, ISBN 973-664-053-1. 4. Tiberiu Socaciu, Anamaria Macovei, Mirela Danubianu, Ioan Maxim, O rezolvare paralela a ecuatiei Black-Scholes, at Zilele Academice Aradene 2009, 8-10 mai 2009. |
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