出版社：Academy of Economic Studies - Bucharest, Romania
摘要：The pricing of options is a very important problem encountered in financial domain. The famous Black-Scholes model provides explicit closed form solution for the values of certain (European style) call and put options. But for many other options, either there are no closed form solution, or if such closed form solutions exist, the formulas exhibiting them are complicated and difficult to evaluate accurately by conventional methods. The aim of this paper is to study the possibility of obtaining the numerical solution for the Black-Scholes equation in parallel, by means of several processors, using the finite difference method. A comparison between the complexity of the parallel algorithm and the serial one is given.
