PARALLEL PSEUDOSPECTRAL SOLUTION OF FINANCIAL PARTIAL DIFFERENTIAL EQUATIONS
作者:
F.O. BUNNIN,
Y. GUO,
Y. REN,
J. DARLINGTON,
期刊:
Parallel Algorithms and Applications
(Taylor Available online 2000)
卷期:
Volume 15,
issue 1-2
页码: 3-13
ISSN:1063-7192
年代: 2000
DOI:10.1080/01495730008947347
出版商: Taylor & Francis Group
关键词: Parallel pseudospectral method;Bi-conjugate gradient stabilised algorithm;Financial modeling;High performance computing
数据来源: Taylor
摘要:
We apply the Pseudospectral method to two fundamental financial equations: the Black-Scholes equation and the Cox Ingersoil Ross model of the term structure of interest rates. The former is used to price a European Call Option and the latter to price a zero coupon bond. Chebyshev polynomials are used as the basis functions and Chebyshev collocation points for the space discretisation. The Crank-Nicolson scheme is used for the time differencing. We have developed a C++ program to solve general second order linear parabolic equations, A parallel quasi-minimal residual version of the Bi-Conjugate Gradient stabilised algorithm is applied to solve the linear system on the AP3000, a parallel computer. The regular space domain and the smooth solutions often encountered in finance suggest the suitability of using this higher order technique.
点击下载:
PDF (238KB)
返 回