Parallelization of Pricing Path-Dependent Financial Instruments on Bounded Trinomial Lattices

Authors:
Hannes Schabauer;Ronald Hochreiter;Georg Ch. Pflug
Affiliations:
Research Lab Computational Technologies and Applications, University of Vienna,;Department of Statistics and Decision Support Systems, University of Vienna,;Department of Statistics and Decision Support Systems, University of Vienna,
Venue:
ICCS '08 Proceedings of the 8th international conference on Computational Science, Part II
Year:
2008

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Abstract

Complex financial instruments are a central concept for the survival of financial enterprises in liberalized markets. The need for fast pricing of more complex and exotic financial products led to the development of new algorithms, and to the parallelization of existing algorithms. In this paper, we present a parallelization scheme for pricing path-dependent interest rate products on bounded trinomial lattices. The basic building block presented in this paper can be used to build more complex pricing schemes. The paper is concluded by a set of numerical results concerning the speedup of the proposed parallelization scheme.