Parallel Computing for Option Pricing Based on the Backward Stochastic Differential Equation
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.
Unable to display preview. Download preview PDF.
- 4.Huang, K., Thulasiram, R.K.: Parallel Algorithm for Pricing American Asian Options with Multi-Dimensional Assets. In: Proceedings of the 19th International Symposium on High Performance Computing Systems and Applications, pp. 177–185 (2005)Google Scholar
- 7.Peng, S., Xu, M.: The Numerical Algorithms and simulations for BSDEs (2008), ArXiv: math.PR/08062761 Google Scholar
- 8.Surkov, V.: Parallel Option Pricing with Fourier Space Time-stepping Method on Graphics Processing Units. In: IEEE International Symposium on Parallel and Distributed Processing (2008)Google Scholar