# Asynchronous Parareal Algorithm Applied to European Option Pricing

## TL;DR

This paper introduces an asynchronous version of the parareal algorithm tailored for European option pricing, demonstrating its efficiency through numerical experiments on a supercomputer.

## Contribution

It presents a novel asynchronous parareal algorithm model and applies it to European option pricing, showcasing improved parallel performance.

## Key findings

- Enhanced computational efficiency in option pricing
- Successful implementation on a parallel supercomputer
- Potential for reduced idle times in large-scale problems

## Abstract

Asynchronous iterations arise naturally in parallel computing if one wants to solve large problems with a minimization of the idle times. This paper presents an original model of asynchronous iterations for a time-domain decomposition method, namely the parareal method. The asynchronous parareal algorithm is here applied to European option pricing, and numerical experiments performed on a parallel supercomputer, illustrate the performance and efficiency of this new method.