Abstract
The Backward Stochastic Differential Equation (BSDE) is a robust tool for financial derivatives pricing and risk management. In this paper, we explore the opportunity for parallel computing with BSDEs in financial engineering. A binomial tree based numerical method for BSDEs is investigated and applied to option pricing. According to the special structure of the numerical model, we develop a block allocation algorithm in parallelization, where large communication overhead is avoided. Runtime experiments manifest optimistic speedups for the parallel implementation.
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Peng, Y., Gong, B., Liu, H., Zhang, Y. (2010). Parallel Computing for Option Pricing Based on the Backward Stochastic Differential Equation. In: Zhang, W., Chen, Z., Douglas, C.C., Tong, W. (eds) High Performance Computing and Applications. Lecture Notes in Computer Science, vol 5938. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-11842-5_44
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DOI: https://doi.org/10.1007/978-3-642-11842-5_44
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-11841-8
Online ISBN: 978-3-642-11842-5
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