Parallel Option Price Valuations with the Explicit Finite Difference Method |
| |
Authors: | Alexandros V Gerbessiotis |
| |
Affiliation: | (1) INESC-ID IST/TULisbon, Lisboa, Portugal |
| |
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. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|