Two Parallel Solutions of Black-Scholes Equation

Abstract

In our paper we build a reccurence from Black-Scholes equation and discretization of domain. From reccurencewe build 3 algorithms: one for a serial machine (A1), one for aPRAM parallel machine (A2) and one for message based parallelmachine (A3).

Keywords

• Black-scholes PDE
• domain discretization.