Multithreaded algorithms for pricing a class of complex options

Proceedings - 15th International Parallel and Distributed Processing Symposium, IPDPS 2001

Volumn , Issue , 2001, Pages

  Thulasiram, R K ^a   Litov, L ^b   Nojumi, H ^c   Downing, C T ^d   Gao, G R ^c  

^a UNIVERSITY OF MANITOBA   (Canada)

^b NEW YORK UNIVERSITY   (United States)

^c UNIVERSITY OF DELAWARE   (United States)

^d FEDERAL RESERVE BOARD   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

DATA FLOW ANALYSIS; ECONOMICS; ITERATIVE METHODS;

BINOMIAL LATTICES; DATA FLOW MODELING; EARTH PLATFORMS; INHERENT PARALLELISM; ITERATIVE ALGORITHM; MULTI-THREADED ALGORITHMS; RECURSIVE ALGORITHMS; RELATIVE COMPLEXITY;

ALGORITHMS;

EID: 79952120750     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/IPDPS.2001.924950     Document Type: Conference Paper

References (5)

1. H. M. Amman. Supercomputing in Economics: A New Field of Research? High Performance Computing, (Ed: J.L. Delhaye, E. Gelenbe) Elsevier Science Publishers B.V. (North-Holland), 1989.
2. J. C. Cox, S. A. Ross, and M. Rubinstein. Option pricing: A simplified approach. Journal of Financial Economics, 7:229-263, 1979.
3. D. Duffie. Dynamic Asset Pricing Theory. Princeton University Press, Princeton, NJ, 1996.
4. J. C. Hull. Options, Futures and Other Derivatives. Prentice Hall, Upper Saddle River, NJ, 3 edition, 1997.
5. K. B. Theobald. EARTH: An Efficient Architecture for Running Threads. PhD thesis, McGill University, Montreal, Canada, May 1999.