Trinomial-tree Based Parallel Option Price Valuations

DOI10.1080/10637190310001633655zbMATH Open1114.91052OpenAlexW2016687775MaRDI QIDQ4820802FDOQ4820802

Authors: A. V. Gerbessiotis 

Publication date: 1 October 2004

Published in: Parallel Algorithms and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10637190310001633655

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zbMATH Keywords

BSP modelBulk-synchronous parallelOption valuationsTrinomial trees

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Cites Work

• The pricing of options and corporate liabilities
• Ordered \(h\)-level graphs on the BSP model

Cited In (5)

• An efficient parallel implementation of a lattice pricing model
• Title not available (Why is that?)
• Convergence of the trinomial tree method for pricing European/American options
• Parallel option price valuations with the explicit finite difference method
• Cache-optimal algorithms for option pricing

Uses Software

• LAM-MPI

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