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...

Full description

Bibliographic Details

Published in:	Proceedings 15th International Parallel and Distributed Processing Symposium. IPDPS 2001 p. 6 pp.
Main Authors:	Thulasiram, R.K., Litov, L., Nojumi, H., Downing, C.T., Gao, G.R.
Format:	Conference Proceeding
Language:	English
Published:	IEEE 2001
Subjects:	Contracts Delay Earth Economic forecasting Instruments Iterative algorithms Parallel processing Pricing Security Yarn
ISBN:	0769509908, 9780769509907
ISSN:	1530-2075
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!