Parallel option price valuations with the explicit finite difference method

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3 Scopus citations

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 multi-core processors is also established.

Original languageEnglish (US)
Pages (from-to)159-182
Number of pages24
JournalInternational Journal of Parallel Programming
Volume38
Issue number2
DOIs
StatePublished - Apr 2010

All Science Journal Classification (ASJC) codes

  • Software
  • Theoretical Computer Science
  • Information Systems

Keywords

  • BSP model
  • Explicit finite difference method
  • Latency tolerant algorithms
  • Option valuations
  • Parallel algorithm
  • Parallel computing
  • Parallel programming
  • Performance analysis

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