Algorithm 659: Implementing Sobol's quasirandom sequence generator
ACM Transactions on Mathematical Software (TOMS)
Quasirandom number generators for parallel Monte Carlo algorithms
Journal of Parallel and Distributed Computing
Efficiency improvements for pricing American options with a stochastic mesh
Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1
Using MPI (2nd ed.): portable parallel programming with the message-passing interface
Using MPI (2nd ed.): portable parallel programming with the message-passing interface
Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives
Parallel Computing - Special issue on parallel computing in economics, finance and decision-making
Parallel and Distributed Computing Issues in Pricing Financial Derivatives through Quasi Monte Carlo
IPDPS '02 Proceedings of the 16th International Parallel and Distributed Processing Symposium
Multithreaded Algorithms for Pricing a Class of Complex Options
IPDPS '01 Proceedings of the 15th International Parallel & Distributed Processing Symposium
An improved simulation method for pricing high-dimensional American derivatives
Mathematics and Computers in Simulation - Special issue: 3rd IMACS seminar on Monte Carlo methods - MCM 2001
Performance Evaluation of a Multithreaded Fast Fourier Transform Algorithm for Derivative Pricing
The Journal of Supercomputing
Performance Evaluation of Parallel Algorithms for Pricing Multidimensional Financial Derivatives
ICPPW '02 Proceedings of the 2002 International Conference on Parallel Processing Workshops
Architecture independent parallel binomial tree option price valuations
Parallel Computing
Parallel computing for option pricing based on the backward stochastic differential equation
HPCA'09 Proceedings of the Second international conference on High Performance Computing and Applications
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In this paper, we develop parallel algorithms for pricing American options on multiple assets. Our parallel methods are based on the Low Discrepancy (LD) mesh method which combines the quasi-Monte Carlo technique with the stochastic mesh method. We present two approaches to parallelise the backward recursion step, which is the most computational intensive part of the LD mesh method. We perform parallel run time analysis of the proposed methods and prove that both parallel approaches are scalable. The algorithms are implemented using MPI. The parallel efficiency of the methods are demonstrated by pricing several American options, and near optimal speedup results are presented.