We present the parallelization of a sparse grid finite element discretization
of the Black–Scholes equation, which is commonly used for option pricing.
Sparse grids allow to handle higher dimensional options than classical
approaches on full grids and can be extended to a fully adaptive discretization
method. We introduce the algorithmical structure of efficient algorithms
operating on sparse grids and demonstrate how they can be used to derive an
efficient parallelization with OpenMP of the Black–Scholes solver. We show
results on different commodity hardware systems based on multi-core
architectures with up to 24 cores and discuss the parallel performance using
Intel and Advanced Micro Devices (AMD) CPUs.
%0 Journal Article
%1 bungartz2014parallelizing
%A Bungartz, Hans-Joachim
%A Heinecke, Alexander
%A Pflüger, Dirk
%A Schraufstetter, Stefanie
%D 2014
%I John Wiley & Sons, Ltd
%J Concurrency and Computation: Practice and Experience
%K from:leiterrl Black-Scholes;_option_pricing;_sparse_grids;_finite_elements;_parallelization;_multi-core;_OpenMP
%P 1640--1653
%R 10.1002/cpe.2837
%T Parallelizing a Black-Scholes solver based on finite elements and sparse grids
%U http://www2.informatik.uni-stuttgart.de/cgi-bin/NCSTRL/NCSTRL_view.pl?id=ART-2014-17&engl=0
%X We present the parallelization of a sparse grid finite element discretization
of the Black–Scholes equation, which is commonly used for option pricing.
Sparse grids allow to handle higher dimensional options than classical
approaches on full grids and can be extended to a fully adaptive discretization
method. We introduce the algorithmical structure of efficient algorithms
operating on sparse grids and demonstrate how they can be used to derive an
efficient parallelization with OpenMP of the Black–Scholes solver. We show
results on different commodity hardware systems based on multi-core
architectures with up to 24 cores and discuss the parallel performance using
Intel and Advanced Micro Devices (AMD) CPUs.
@article{bungartz2014parallelizing,
abstract = {We present the parallelization of a sparse grid finite element discretization
of the Black{\^a}€“Scholes equation, which is commonly used for option pricing.
Sparse grids allow to handle higher dimensional options than classical
approaches on full grids and can be extended to a fully adaptive discretization
method. We introduce the algorithmical structure of efficient algorithms
operating on sparse grids and demonstrate how they can be used to derive an
efficient parallelization with OpenMP of the Black{\^a}€“Scholes solver. We show
results on different commodity hardware systems based on multi-core
architectures with up to 24 cores and discuss the parallel performance using
Intel and Advanced Micro Devices (AMD) CPUs.},
added-at = {2020-07-27T15:42:31.000+0200},
author = {Bungartz, Hans-Joachim and Heinecke, Alexander and Pfl{\"u}ger, Dirk and Schraufstetter, Stefanie},
biburl = {https://puma.ub.uni-stuttgart.de/bibtex/20a71e5b575d89fdc1a269e143ce1873e/ipvs-sc},
cr-category = {I.6 Simulation and Modeling},
department = {Universit{\"a}t Stuttgart, Institut f{\"u}r Parallele und Verteilte Systeme, Simulation gro{\ss}er Systeme},
doi = {10.1002/cpe.2837},
interhash = {f66c6ada5df0f8e902df83f9314276bc},
intrahash = {0a71e5b575d89fdc1a269e143ce1873e},
issn = {1532-0634},
journal = {Concurrency and Computation: Practice and Experience},
keywords = {from:leiterrl Black-Scholes;_option_pricing;_sparse_grids;_finite_elements;_parallelization;_multi-core;_OpenMP},
language = {Englisch},
month = {Juni},
pages = {1640--1653},
publisher = {John Wiley \& Sons, Ltd},
timestamp = {2020-07-27T13:42:31.000+0200},
title = {{Parallelizing a Black-Scholes solver based on finite elements and sparse grids}},
type = {Artikel in Zeitschrift},
url = {http://www2.informatik.uni-stuttgart.de/cgi-bin/NCSTRL/NCSTRL_view.pl?id=ART-2014-17&engl=0},
year = 2014
}
