Parallel valuation of the lower and upper bound prices for multi-asset Bermudan options

Nan Zhang; Ka Lok Man

doi:10.1007/978-3-642-35606-3_54

Parallel valuation of the lower and upper bound prices for multi-asset Bermudan options

Nan Zhang^*, Ka Lok Man

^*Corresponding author for this work

Research output: Chapter in Book or Report/Conference proceeding › Conference Proceeding › peer-review

1 Citation (Scopus)

Abstract

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.

Original language	English
Title of host publication	Network and Parallel Computing - 9th IFIP International Conference, NPC 2012, Proceedings
Pages	453-462
Number of pages	10
DOIs	https://doi.org/10.1007/978-3-642-35606-3_54
Publication status	Published - 2012
Event	9th IFIP International Conference on Network and Parallel Computing, NPC 2012 - Gwangju, Korea, Republic of Duration: 6 Sept 2012 → 8 Sept 2012

Publication series

Name	Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume	7513 LNCS
ISSN (Print)	0302-9743
ISSN (Electronic)	1611-3349

Conference

Conference	9th IFIP International Conference on Network and Parallel Computing, NPC 2012
Country/Territory	Korea, Republic of
City	Gwangju
Period	6/09/12 → 8/09/12

Keywords

Monte Carlo simulation
Multi-asset Bermudan options
Option pricing
Parallel computing

Access to Document

10.1007/978-3-642-35606-3_54

Cite this

Zhang, N., & Man, K. L. (2012). Parallel valuation of the lower and upper bound prices for multi-asset Bermudan options. In Network and Parallel Computing - 9th IFIP International Conference, NPC 2012, Proceedings (pp. 453-462). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 7513 LNCS). https://doi.org/10.1007/978-3-642-35606-3_54

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title = "Parallel valuation of the lower and upper bound prices for multi-asset Bermudan options",

abstract = "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.",

keywords = "Monte Carlo simulation, Multi-asset Bermudan options, Option pricing, Parallel computing",

author = "Nan Zhang and Man, {Ka Lok}",

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pages = "453--462",

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Zhang, N & Man, KL 2012, Parallel valuation of the lower and upper bound prices for multi-asset Bermudan options. in Network and Parallel Computing - 9th IFIP International Conference, NPC 2012, Proceedings. Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), vol. 7513 LNCS, pp. 453-462, 9th IFIP International Conference on Network and Parallel Computing, NPC 2012, Gwangju, Korea, Republic of, 6/09/12. https://doi.org/10.1007/978-3-642-35606-3_54

Parallel valuation of the lower and upper bound prices for multi-asset Bermudan options. / Zhang, Nan; Man, Ka Lok.
Network and Parallel Computing - 9th IFIP International Conference, NPC 2012, Proceedings. 2012. p. 453-462 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 7513 LNCS).

Research output: Chapter in Book or Report/Conference proceeding › Conference Proceeding › peer-review

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AB - 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.

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Zhang N, Man KL. Parallel valuation of the lower and upper bound prices for multi-asset Bermudan options. In Network and Parallel Computing - 9th IFIP International Conference, NPC 2012, Proceedings. 2012. p. 453-462. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)). doi: 10.1007/978-3-642-35606-3_54

Parallel valuation of the lower and upper bound prices for multi-asset Bermudan options

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