DocumentCode
3190103
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
fYear
2005
fDate
15-18 May 2005
Firstpage
177
Lastpage
185
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;
fLanguage
English
Publisher
ieee
Conference_Titel
High Performance Computing Systems and Applications, 2005. HPCS 2005. 19th International Symposium on
ISSN
1550-5243
Print_ISBN
0-7695-2343-9
Type
conf
DOI
10.1109/HPCS.2005.38
Filename
1430069
Link To Document