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Nan Zhang, Chi-Un Lei, Ka Lok Man
We present a novel parallel binomial algorithm to compute prices of American options. The algorithm partitions a binomial tree into blocks of multiple levels of nodes, and assigns each such block to multiple processors. Each processor in parallel with the others computes the option’s values at nodes assigned to it. The computation consists of two […]
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Nan Zhang, Eng Gee Lim, Ka Lok Man, Chi-Un Lei
We present in this paper a novel parallel binomial algorithm that computes the price of an American option. The algorithm partitions a binomial tree constructed for the pricing into blocks of multiple levels of nodes, and assigns each such block to multiple processors. Each of the processors then computes the option’s values at its assigned […]
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