Kragujevac J. Math. 27 - 8
Kragujevac J. Math. 27 (2005) 91-100.
PARALLEL ALGORITHM FOR SOLVING
THE BLACK-SCHOLES EQUATION
Ioana Chiorean
Babe s-Bolyai University,
Faculty of Mathematics
Kogalniceanu 1,
3400 Cluj-Napoca, Romania (e-mail: ioana@cs.ubbcluj.ro)
(Received March 15, 2005)
Abstract.
The aim of this paper is to study the possibility of obtaining
the numerical solution of 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.