Multithreaded algorithms for pricing a class of complex options

In this paper, we study multithreaded algorithms for pricing American Style options. We describe the algorithms, explain their relative complexities, and study their performance. The binomial lattice problem has been formulated in two distinct ways. In the first approach, the recursive algorithm, we...

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Vydané v:	Proceedings 15th International Parallel and Distributed Processing Symposium. IPDPS 2001 s. 6 pp.
Hlavní autori:	Thulasiram, R.K., Litov, L., Nojumi, H., Downing, C.T., Gao, G.R.
Médium:	Konferenčný príspevok..
Jazyk:	English
Vydavateľské údaje:	IEEE 2001
Predmet:	Contracts Delay Earth Economic forecasting Instruments Iterative algorithms Parallel processing Pricing Security Yarn
ISBN:	0769509908, 9780769509907
ISSN:	1530-2075
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