Parallel option price valuations with the explicit finite difference method

DOI10.1007/S10766-009-0126-5MaRDI QIDQ2268757zbMATH OpenOpenAlexFDO

Authors A. V. Gerbessiotis

Publication date 9 March 2010

Published in International Journal of Parallel Programming (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10766-009-0126-5

zbMATH Keywords

parallel algorithmparallel computingparallel programmingperformance analysisBSP modelexplicit finite difference methodlatency tolerant algorithmsoption valuations

Mathematics Subject Classification ID

Parallel algorithms in computer science (68W10) Other programming paradigms (object-oriented, sequential, concurrent, automatic, etc.) (68N19)

Recommendations

• Trinomial-tree Based Parallel Option Price Valuations
• scientific article; zbMATH DE number 1432342
• Parallel algorithm for solving the Black-Scholes equation
• Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods
• Multi-asset American options and parallel quantization

Cites work

• The pricing of options and corporate liabilities
• Trinomial-tree Based Parallel Option Price Valuations

Cited in

(8)

• An efficient parallel implementation of a lattice pricing model
• Experiences in the pricing of trivariate contingent claims with finite difference methods on a massively parallel computer
• On the acceleration of explicit finite difference methods for option pricing
• Simulation of multi-option pricing on distributed computing
• Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences
• The parareal algorithm for American options
• High-accuracy finite-difference methods for the valuation of options
• Trinomial-tree Based Parallel Option Price Valuations

Describes a project that uses

Uses Software

• SWARM
• OpenMPI
• LAM-MPI
• BSPlib

This page was built for publication: Parallel option price valuations with the explicit finite difference method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2268757)