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

摘要：

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 BS-DEs 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.

作者: Ying Peng Bin Gong Hui Liu Yanxin Zhang

作者单位: School of Computer Science and Technology, Shandong University,Jinan 250101, P.R. China School of Computer Science and Technology,Shandong University,Jinan 250101, P.R. China

会议类型: 国际会议

会议名称: The Second International Conference on High Performance Computing and Applications(第二届高性能计算及应用国际会议)

会议地点: 上海

会议语种:英文

页码: 325-330

在线出版日期: 2009-08-10（万方平台首次上网日期，不代表论文的发表时间）