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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.
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Zhang Nan, Ka Man. Parallel Valuation of the Lower and Upper Bound Prices for Multi-asset Bermudan Options. 9th International Conference on Network and Parallel Computing (NPC), Sep 2012, Gwangju, South Korea. pp.453-462, ⟨10.1007/978-3-642-35606-3_54⟩. ⟨hal-01551362⟩



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