QuoteOriginally posted by: outrunQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: outrunparallel binomial tree works fine.Do you have the paper? Have you read it?BM prices at a _single_ S with a speedup of 285 is not spectacular. A real FDM can price a whole matrix of values in one go...a tree ..a grid: that's not the point... The point is that explicit is more efficient parallelizable. You can have cores work on various parts of the tree (or grid)Well, I take it then that you have _not_ read the article.There authors are talking about a speedup factor of 2! here They have conclusions why the speedup is so low.Even more worrying is they use floats!(??) The book by Sandors and Kandrot also use float. Is there no support for double.QuoteThe point is that explicit is more efficient parallelizable.Not necessarily. Example: FTCS(aka explicit Euler) scheme for heat PDE.
Last edited by Cuchulainn
on April 25th, 2015, 10:00 pm, edited 1 time in total.