Parallel Algorithm for Pricing American Asian Options with Multi-Dimensional Assets

Authors:
Kai Huang;Ruppa K. Thulasiram
Affiliations:
University of Manitoba;University of Manitoba
Venue:
HPCS '05 Proceedings of the 19th International Symposium on High Performance Computing Systems and Applications
Year:
2005

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Abstract

In this paper, we develop parallel algorithms for pricing American-style Asian options employing binomial tree method. We describe the algorithm, explain the complexities, and study the performance. We have extended our algorithm to handle Asian options with up to 10 underlying assets and shown that the multi-asset Asian options offer a better problem for parallel computation.