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 proceedingConference Proceedingpeer-review

1 Citation (Scopus)


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 languageEnglish
Title of host publicationNetwork and Parallel Computing - 9th IFIP International Conference, NPC 2012, Proceedings
Number of pages10
Publication statusPublished - 2012
Event9th IFIP International Conference on Network and Parallel Computing, NPC 2012 - Gwangju, Korea, Republic of
Duration: 6 Sept 20128 Sept 2012

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume7513 LNCS
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349


Conference9th IFIP International Conference on Network and Parallel Computing, NPC 2012
Country/TerritoryKorea, Republic of


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

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