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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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
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Summary: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 establish a parent-child relationship between threads while fully exploiting the inherent parallelism. The second approach, the iterative algorithm, follows a data-flow model based on the producer-consumer style of programming. We implement the algorithms on the EARTH platform. The limitations posed by the problem size on the recursive algorithm and the solution to overcome this problem by the iterative algorithm are explained through the performance results. We have then extended these algorithms to study complicated options with dividend paying underlying assets and reported the performance results.
ISBN:0769509908
9780769509907
ISSN:1530-2075
DOI:10.1109/IPDPS.2001.924950