An OpenMP Implementation of FTCS Method for Reduced Black-Sholes Equation
نویسندگان
چکیده
Using explicit Forward Time Centered Spaace (FTCS) on the reduced Black-Scholes partial differential equation, we report pricing of European options. We have done our experiments on a shared memory multiprocessor machine using OpenMP and report a maximum speedup of 3.43 with 16 threads.
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