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IJPP
2010

Parallel Option Price Valuations with the Explicit Finite Difference Method

8 years 11 months ago
Parallel Option Price Valuations with the Explicit Finite Difference Method
Abstract. We show how computations such as those involved in American or European-style option price valuations with the explicit finite difference method can be performed in parallel. Towards this we introduce a latency tolerant parallel algorithm for performing such computations efficiently that achieves optimal theoretical speedup p, where p is the number of processor of the parallel system. An implementation of the parallel algorithm has been undertaken, and an evaluation of its performance is carried out by performing an experimental study on a high-latency PC cluster, and at a smaller scale, on a multi-core processor using in addition the SWARM parallel computing framework for multi-core processors. Our implementation of the parallel algorithm is not only architecture but also communication library independent: the same code works under LAM-MPI and Open MPI and also BSPlib, two sets of library frameworks that facilitate parallel programming. The suitability of our approach to m...
Alexandros V. Gerbessiotis
Added 28 Jan 2011
Updated 28 Jan 2011
Type Journal
Year 2010
Where IJPP
Authors Alexandros V. Gerbessiotis
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