SIAM Journal on Numerical Analysis
Computer Science in Economics and Management
High-performance computing in finance: the last 10 years and the next
Parallel Computing - Special Anniversary issue
High-performance computing in finance: the last 10 years and the next
Parallel Computing - Special Anniversary issue
Multithreaded Algorithms for Pricing a Class of Complex Options
IPDPS '01 Proceedings of the 15th International Parallel & Distributed Processing Symposium
A software architecture framework for on-line option pricing
The Journal of Supercomputing
Grid resources valuation with fuzzy real option
International Journal of High Performance Computing and Networking
Exploring financial applications on many-core-on-a-chip architecture: a first experiment
ISPA'06 Proceedings of the 2006 international conference on Frontiers of High Performance Computing and Networking
A software architecture framework for on-line option pricing
ISPA'06 Proceedings of the 4th international conference on Parallel and Distributed Processing and Applications
A grid resources valuation model using fuzzy real option
ISPA'07 Proceedings of the 5th international conference on Parallel and Distributed Processing and Applications
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In this paper, we study the option pricing problem, one of the prominent and challenging problems in computational finance. Using the Pade approximation, we have developed a second order L0 stable discrete parallel algorithm for experimentation on advanced architectures. We have implemented the sequential version of this algorithm and evaluated the European Options. Numerical results are compared with those obtained using other commonly used numerical methods and shown that the new algorithm is robust and efficient than the traditional schemes. Also, using explicit Forward Time Centered Space (FTCS) on the reduced Black-Scholes partial differerential equation, we report pricing of European options. We have done our experiments on a shared memory multiprocessor machine using OpenMP and report a maximum speedup of 3.43 with 16 threads.