%0 Conference Proceedings
%T Parallel Valuation of the Lower and Upper Bound Prices for Multi-asset Bermudan Options
%+ Xi'an Jiaotong-Liverpool University [Suzhou]
%A Nan, Zhang
%A Man, Ka, Lok
%Z Part 12: DATICS
%< avec comité de lecture
%( Lecture Notes in Computer Science
%B 9th International Conference on Network and Parallel Computing (NPC)
%C Gwangju, South Korea
%Y James J. Park
%Y Albert Zomaya
%Y Sang-Soo Yeo
%Y Sartaj Sahni
%I Springer
%3 Network and Parallel Computing
%V LNCS-7513
%P 453-462
%8 2012-09-06
%D 2012
%R 10.1007/978-3-642-35606-3_54
%K Parallel computing
%K option pricing
%K multi-asset Bermudan options
%K Monte Carlo simulation
%Z Computer Science [cs]Conference papers
%X We present a parallel algorithm and its multi-threaded implementation for computing lower and upper bound prices of multi-asset Bermudan options. Our baseline sequential algorithm follows Longstaff and Schwartz’s least-squares Monte Carlo method in computing the lower bound and Andersen and Broadie’s simulation-based procedure with sub-optimality checking for the upper bound. The parallel implementation uses POSIX Threads for thread manipulation and Intel’s MKL functions for random number generation and linear algebra operations. Tests were made on Intel x86 multi-core processors using the same option examples as the previous work, and the runtimes of the same computations were reduced from minutes to a few seconds.
%G English
%Z TC 10
%Z WG 10.3
%2 https://inria.hal.science/hal-01551362/document
%2 https://inria.hal.science/hal-01551362/file/978-3-642-35606-3_54_Chapter.pdf
%L hal-01551362
%U https://inria.hal.science/hal-01551362
%~ IFIP-LNCS
%~ IFIP
%~ IFIP-AICT
%~ IFIP-TC
%~ IFIP-TC10
%~ IFIP-NPC
%~ IFIP-WG10-3
%~ IFIP-LNCS-7513