Trinomial-tree Based Parallel Option Price Valuations

DOI10.1080/10637190310001633655MaRDI QIDQ4820802zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(5)

• scientific article; zbMATH DE number 7267415 (Why is no real title available?)
• An efficient parallel implementation of a lattice pricing model
• Cache-optimal algorithms for option pricing
• Convergence of the trinomial tree method for pricing European/American options
• Parallel option price valuations with the explicit finite difference method

Describes a project that uses

Uses Software

• LAM-MPI

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