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.

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Year of publication:	2008
Authors:	FANACHE, Dumitru ; SMEUREANU, Ion
Published in:	Informatica Economica. - Academia de Studii Economice din Bucureşti, ISSN 1453-1305. - Vol. XII.2008, 3, p. 115-119
Publisher:	Academia de Studii Economice din Bucureşti
Subject:	coarse grained multicomputer \| parallel algorithm \| tridiagonal linear system \| band matrices \| odd-even cyclic reduction algorithm

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

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