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Parallelization and Vectorization of Simulation Based Option Pricing Methods

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Computational Science and Its Applications — ICCSA 2003 (ICCSA 2003)

Part of the book series: Lecture Notes in Computer Science ((LNCS,volume 2669))

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Abstract

Simulation based pricing methods are used for a broad range of derivative valuation problems for which no closed form solution is known. They are easily adaptable to new products, and they show a superior performance for multidimensional pricing problems compared to other pricing techniques. In this paper we show how pricing methods based on Monte Carlo simulation and the stochastic mesh method of Broadie and Glasserman can be sped up by means of parallelization and vectorization. Computational results are given for multidimensional American and European pricing problems and on two different execution platforms; an MPI based NEC PC cluster and an NEC SX-6i vector computer.

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References

  1. Boyle, P.: Options: A Monte Carlo Approach. J. Financial Econ. 4 No. 3 (1977) 323–338

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  3. Broadie, M., Glasserman, P.: A Stochastic Mesh Method for Pricing High-Dimensional American Options. Working Paper Columbia University

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  5. Longstafff, Francis A., Schwartz, Eduardo S.: Valuing American Options by Simulation: A Simple Least-Squares Approach Review of Financial Studies 14 No. 1 (2001) 113–147

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Author information

Authors and Affiliations

  1. Dept. of Computer Science III, University of Bonn, Römerstrasse 164, D-53117, Bonn, Germany

    Jürgen Schumacher

  2. C&C Research Laboratories, NEC Europe Ltd., Rathausallee 10, D-53757, Sankt Augustin, Germany

    Uwe Jaekel & Achim Basermann

Authors
  1. Jürgen Schumacher
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  2. Uwe Jaekel
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  3. Achim Basermann
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Editor information

Editors and Affiliations

  1. Army High Performance Computing Research Center, USA University of Minessota Department of Computer Science and Engineering, MN, 55455, USA

    Vipin Kumar

  2. Department of Computer Science, University of Calgary, Calgary, AB, T2N1N4, Canada

    Marina L. Gavrilova

  3. Heuchera Technologies Inc., 122 9251-8Yonge Street, Richmond Hill, ON, Canada, L4C 9T3

    Chih Jeng Kenneth Tan

  4. School of Computer Science, The Queen’s University of Belfast, Belfast, BT7 1NN, Northern Ireland UK

    Chih Jeng Kenneth Tan

  5. Département d’informatique et de recherche opérationelle Montréal, Université de Montréal, Québec, H3C 3J7, Canada

    Pierre L’Ecuyer

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© 2003 Springer-Verlag Berlin Heidelberg

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Schumacher, J., Jaekel, U., Basermann, A. (2003). Parallelization and Vectorization of Simulation Based Option Pricing Methods. In: Kumar, V., Gavrilova, M.L., Tan, C.J.K., L’Ecuyer, P. (eds) Computational Science and Its Applications — ICCSA 2003. ICCSA 2003. Lecture Notes in Computer Science, vol 2669. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-44842-X_15

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  • DOI: https://doi.org/10.1007/3-540-44842-X_15

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-40156-8

  • Online ISBN: 978-3-540-44842-6

  • eBook Packages: Springer Book Archive

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