Asynchronous grid computation for American options derivatives

Authors: M. Chau, R. Couturier, J. Bahi, P. Spiteri

Abstract: 
In relation with the mathematics of financial applications, the present study deals with the solution of the time dependent obstacle problem defined in a three-dimensional domain; this problem arises in the pricing of American options derivatives. In order to solve very quickly large scale algebraic systems derived from the discretization of the obstacle problem, the parallelization of the numerical algorithm is necessary. So, we present parallel synchronous, and more generally asynchronous, iterative algorithms to solve this problem. For the considered problem, arguments implying the convergence of parallel synchronous and asynchronous algorithms are given in a general framework. Finally, computational experiments on GRID’5000, the French national grid, are presented and analyzed. They allow us to compare both synchronous and asynchronous versions with local and distributed clusters and to show the interest of such methods in the context of grid computing.

Keywords:
Parallel iterative algorithms
Asynchronous iterations
Obstacle problem
Grid computing
American options
Projected relaxation method

Published in: Advances Engineering Software (Volume 60-61, june-july, 2013)

Publisher: Elsevier

ISSN Information: 0965-9978

Asynchronous grid computation for American options derivatives

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