Title :
Parallel algorithm for pricing American Asian options with multi-dimensional assets
Author :
Huang, Kai ; Thulasiram, Ruppa K.
Author_Institution :
Dept. of Comput. Sci., Manitoba Univ., Winnipeg, Man., Canada
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.
Keywords :
distributed shared memory systems; parallel algorithms; pricing; trees (mathematics); American-style Asian option pricing; binomial tree method; multi-dimensional asset; parallel algorithm; parallel computation; Algorithm design and analysis; Arithmetic; Computer science; Concurrent computing; Contracts; Instruments; Mathematical model; Parallel algorithms; Pricing; Security;
Conference_Titel :
High Performance Computing Systems and Applications, 2005. HPCS 2005. 19th International Symposium on
Print_ISBN :
0-7695-2343-9
DOI :
10.1109/HPCS.2005.38
