Abstract
An option contract is a financial instrument that gives right to its holder to buy or sell a financial asset at a specified price, referred to as strike price, on or before the expiry date. Determining the value of an option contract with high accuracy is a computationally intensive task. Earlier implementations of binomial model on a parallel computer have a big gap between the realized performance and the peak performance of the parallel computer. This is mainly due to the implementation not considering the memory hierarchy available in today’s computers. We propose two algorithms based on a hierarchical model of memory that maximize locality for data access. We implement these algorithms on a single processor and a shared memory multiprocessor. The proposed algorithms outperform the earlier reported algorithms by a factor of 20 on uniprocessor; and the speedup varies from 5 to 7.4 on a Sun SMP.
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Zubair, M., Mukkamala, R. (2008). High Performance Implementation of Binomial Option Pricing. In: Gervasi, O., Murgante, B., Laganà, A., Taniar, D., Mun, Y., Gavrilova, M.L. (eds) Computational Science and Its Applications – ICCSA 2008. ICCSA 2008. Lecture Notes in Computer Science, vol 5072. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-69839-5_64
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DOI: https://doi.org/10.1007/978-3-540-69839-5_64
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