An Efficient Parallel Implementation of a Lattice Pricing Model
A two-factor model for the valuation of default risk implicit in US corporate bonds is developed and implemented on a parallel computer. The model is discretized and implemented as a trinomial lattice. The model is used for the least-squares estimation of implicit parameters of volatility and correlation, consistent with the observable term structures of several corporate bond categories, across several trading days.
Although the non-linear optimization is compute-intensive, the pricing step is easily parallelizable on a shared-memory, symmetric multiprocessor system. It is here implemented on the Convex Exemplar SPP-1200 parallel computer, and numerical results are presented.
KeywordsTerm Structure Parallel Implementation Default Risk Corporate Bond Credit Spread
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