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

  • Ying Peng
  • Bin Gong
  • Hui Liu
  • Yanxin Zhang
Part of the Lecture Notes in Computer Science book series (LNCS, volume 5938)

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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