Abstract
In this paper, we study the option pricing problem, one of the prominent and challenging problems in computational finance. Using the Padé approximation, we have developed a second order L0 stable discrete parallel algorithm for experimentation on advanced architectures. We have implemented the sequential version of this algorithm and evaluated the European Options. Numerical results are compared with those obtained using other commonly used numerical methods and shown that the new algorithm is robust and efficient than the traditional schemes. Also, using explicit Forward Time Centered Space (FTCS) on the reduced Black-Scholes partial differerential equation, we report pricing of European options. We have done our experiments on a shared memory multiprocessor machine using OpenMP and report a maximum speedup of 3.43 with 16 threads.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 311-320 |
| Number of pages | 10 |
| Journal | International Journal of High Performance Computing and Networking |
| Volume | 4 |
| Issue number | 5-6 |
| State | Published - 2006 |
| Externally published | Yes |
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Keywords
- European options
- finite-differencing
- Padé approximation
- parallel computing
ASJC Scopus subject areas
- Computer Networks and Communications
- Software
- Hardware and Architecture
Cite this
A second order L0 stable algorithm for evaluating European options. / Thulasiram, Ruppa K.; Zhen, Chen; Chhabra, Amit; Thulasiraman, Parimala; Gumel, Abba.
In: International Journal of High Performance Computing and Networking, Vol. 4, No. 5-6, 2006, p. 311-320.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - A second order L0 stable algorithm for evaluating European options
AU - Thulasiram, Ruppa K.
AU - Zhen, Chen
AU - Chhabra, Amit
AU - Thulasiraman, Parimala
AU - Gumel, Abba
PY - 2006
Y1 - 2006
N2 - In this paper, we study the option pricing problem, one of the prominent and challenging problems in computational finance. Using the Padé approximation, we have developed a second order L0 stable discrete parallel algorithm for experimentation on advanced architectures. We have implemented the sequential version of this algorithm and evaluated the European Options. Numerical results are compared with those obtained using other commonly used numerical methods and shown that the new algorithm is robust and efficient than the traditional schemes. Also, using explicit Forward Time Centered Space (FTCS) on the reduced Black-Scholes partial differerential equation, we report pricing of European options. We have done our experiments on a shared memory multiprocessor machine using OpenMP and report a maximum speedup of 3.43 with 16 threads.
AB - In this paper, we study the option pricing problem, one of the prominent and challenging problems in computational finance. Using the Padé approximation, we have developed a second order L0 stable discrete parallel algorithm for experimentation on advanced architectures. We have implemented the sequential version of this algorithm and evaluated the European Options. Numerical results are compared with those obtained using other commonly used numerical methods and shown that the new algorithm is robust and efficient than the traditional schemes. Also, using explicit Forward Time Centered Space (FTCS) on the reduced Black-Scholes partial differerential equation, we report pricing of European options. We have done our experiments on a shared memory multiprocessor machine using OpenMP and report a maximum speedup of 3.43 with 16 threads.
KW - European options
KW - finite-differencing
KW - Padé approximation
KW - parallel computing
UR - http://www.scopus.com/inward/record.url?scp=79952122786&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=79952122786&partnerID=8YFLogxK
M3 - Article
VL - 4
SP - 311
EP - 320
JO - International Journal of High Performance Computing and Networking
JF - International Journal of High Performance Computing and Networking
SN - 1740-0562
IS - 5-6
ER -