High Performance Computing and Applications pp 325-330
Parallel Computing for Option Pricing Based on the Backward Stochastic Differential Equation
- 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
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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