Search results for "LU decomposition"
showing 2 items of 2 documents
An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
2014
Partial integro-differential equation (PIDE) formulations are often preferable for pricing options under models with stochastic volatility and jumps, especially for American-style option contracts. We consider the pricing of options under such models, namely the Bates model and the so-called stochastic volatility with contemporaneous jumps (SVCJ) model. The nonlocality of the jump terms in these models leads to matrices with full matrix blocks. Standard discretization methods are not viable directly since they would require the inversion of such a matrix. Instead, we adopt a two-step implicit-explicit (IMEX) time discretization scheme, the IMEX-CNAB scheme, where the jump term is treated ex…
Scalable Dense Factorizations for Heterogeneous Computational Clusters
2008
This paper discusses the design and the implementation of the LU factorization routines included in the Heterogeneous ScaLAPACK library, which is built on top of ScaLAPACK. These routines are used in the factorization and solution of a dense system of linear equations. They are implemented using optimized PBLAS, BLACS and BLAS libraries for heterogeneous computational clusters. We present the details of the implementation as well as performance results on a heterogeneous computing cluster.