Architecture independent parallel binomial tree option price valuations

Research output: Contribution to journalArticlepeer-review

34 Scopus citations

Abstract

We introduce an architecture independent approach in describing how computations such as those involved in American or European-style option price valuations can be performed in parallel under the binomial tree model. We describe a latency-tolerant parallel algorithm for the multiplicative binomial tree option pricing model. The algorithm is described and analyzed in an architecture independent setting and performance characteristics are expressed in terms of problem size n, the time horizon, and the parameters p, L and g of the bulk-synchronous parallel model of computation. The algorithm achieves optimal theoretical speedup and is within a 1+o(1) multiplicative factor of the corresponding sequential method. An experimental study of an implementation of the algorithm on a cluster of PC workstations is also undertaken to examine the latency-tolerance of our approach. The implementation with only a recompilation of the same source code works under two diverse parallel programming libraries namely, MPI and BSPlib, thus making it not only architecture but also communication library independent.

Original languageEnglish (US)
Pages (from-to)301-316
Number of pages16
JournalParallel Computing
Volume30
Issue number2
DOIs
StatePublished - Feb 2004

All Science Journal Classification (ASJC) codes

  • Software
  • Theoretical Computer Science
  • Hardware and Architecture
  • Computer Networks and Communications
  • Computer Graphics and Computer-Aided Design
  • Artificial Intelligence

Keywords

  • Architecture independent
  • Binomial tree
  • Bulk-synchronous parallel model
  • MPI
  • Option price valuation

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