Re: Implementing Parallel Computing

[Michael Creel]

I have worked with jump diffusion models using Octave. I use an Euler
approximation. As this involves running a long loop, I wrote C++ code for
the model, and compile it as an .oct file. I think that this will work
better than trying to parallelize the code. The loop of an Euler
approximation is not very amenable to simple parallelization methods,
because of the dependency of the items being looped over on their previous
values.



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