@inproceedings{7a338e6570dd426280442b7ff394a10b,
title = "Parallel binomial valuation of American options with proportional transaction costs",
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.",
keywords = "Parallel computing, binomial process, multi-core processing, option pricing, transaction costs",
author = "Nan Zhang and Alet Roux and Tomasz Zastawniak",
year = "2011",
doi = "10.1007/978-3-642-24151-2_7",
language = "English",
isbn = "9783642241505",
series = "Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)",
pages = "88--97",
booktitle = "Advanced Parallel Processing Technologies - 9th International Symposium, APPT 2011, Proceedings",
note = "9th International Symposium on Advanced Parallel Processing Technologies, APPT 2011 ; Conference date: 26-09-2011 Through 27-09-2011",
}