Parallel Computing for Option Pricing Based on the Backward Stochastic Differential Equation

  • Ying Peng
  • Bin Gong
  • Hui Liu
  • Yanxin Zhang
Conference paper

DOI: 10.1007/978-3-642-11842-5_44

Part of the Lecture Notes in Computer Science book series (LNCS, volume 5938)
Cite this paper as:
Peng Y., Gong B., Liu H., Zhang Y. (2010) Parallel Computing for Option Pricing Based on the Backward Stochastic Differential Equation. In: Zhang W., Chen Z., Douglas C.C., Tong W. (eds) High Performance Computing and Applications. Lecture Notes in Computer Science, vol 5938. Springer, Berlin, Heidelberg

Abstract

The Backward Stochastic Differential Equation (BSDE) is a robust tool for financial derivatives pricing and risk management. In this paper, we explore the opportunity for parallel computing with BSDEs in financial engineering. A binomial tree based numerical method for BSDEs is investigated and applied to option pricing. According to the special structure of the numerical model, we develop a block allocation algorithm in parallelization, where large communication overhead is avoided. Runtime experiments manifest optimistic speedups for the parallel implementation.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  • Ying Peng
    • 1
  • Bin Gong
    • 1
  • Hui Liu
    • 1
  • Yanxin Zhang
    • 1
  1. 1.School of Computer Science and TechnologyShandong UniversityJinanP.R. China

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