Parallel binomial valuation of american options with proportional transaction costs

Authors:
Nan Zhang;Alet Roux;Tomasz Zastawniak
Affiliations:
Department of Computer Science and Software Engineering, Xi'an Jiaotong-Liverpool University, China;Department of Mathematics, University of York, UK;Department of Mathematics, University of York, UK
Venue:
APPT'11 Proceedings of the 9th international conference on Advanced parallel processing technologies
Year:
2011

Citing 4
Cited 0

Architecture independent parallel binomial tree option price valuations

Parallel Computing
Parallel Scientific Computation: A Structured Approach Using BSP and MPI

Parallel Scientific Computation: A Structured Approach Using BSP and MPI
High Performance Implementation of Binomial Option Pricing

ICCSA '08 Proceeding sof the international conference on Computational Science and Its Applications, Part I
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

Quantified Score

Hi-index	0.00

Visualization

Abstract

We present a multi-threaded parallel algorithm that computes the ask and bid prices of American options with the asset transaction costs being taken into consideration. The parallel algorithm is based on the recombining binomial tree model, and is designed for modern shared-memory multi-core processors. Although parallel pricing algorithms for American options have been well studied, the cases with transaction costs have not been addressed. The parallel algorithm was implemented via POSIX Threads, and was tested. The results demonstrated that the approach was efficient and light-weighted. Reasonable speedups were gained on problems of small sizes.