Parallel binomial valuation of American options with proportional transaction costs

Nan Zhang*, Alet Roux, Tomasz Zastawniak

*Corresponding author for this work

Research output: Chapter in Book or Report/Conference proceedingConference Proceedingpeer-review

2 Citations (Scopus)

Abstract

We present a multi-threaded parallel algorithm that computes the ask and bid prices of American options with the asset transaction costs being taken into consideration. The parallel algorithm is based on the recombining binomial tree model, and is designed for modern shared-memory multi-core processors. Although parallel pricing algorithms for American options have been well studied, the cases with transaction costs have not been addressed. The parallel algorithm was implemented via POSIX Threads, and was tested. The results demonstrated that the approach was efficient and light-weighted. Reasonable speedups were gained on problems of small sizes.

Original languageEnglish
Title of host publicationAdvanced Parallel Processing Technologies - 9th International Symposium, APPT 2011, Proceedings
Pages88-97
Number of pages10
DOIs
Publication statusPublished - 2011
Event9th International Symposium on Advanced Parallel Processing Technologies, APPT 2011 - Shanghai, China
Duration: 26 Sept 201127 Sept 2011

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume6965 LNCS
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Conference

Conference9th International Symposium on Advanced Parallel Processing Technologies, APPT 2011
Country/TerritoryChina
CityShanghai
Period26/09/1127/09/11

Keywords

  • Parallel computing
  • binomial process
  • multi-core processing
  • option pricing
  • transaction costs

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