Purdue Research Foundation Computational finance has already been established as a new discipline of finance. Financial institutions are hiring numerical analysts, engineers, and computer scientists to apply computational techniques to a multitude of every day problems. The option valuation problem is among the most important applications in need of mathematical and computational support.
Option valuation mandates the use of advanced mathematical models.
Furthermore it requires an integrated computational support that will address the multitude, diversity and dynamics of contemporary option products. The difficulty with the underlying approximate numerical models is their extrapolating nature. This characteristic leads usually to multidimensional free boundary value problems that are difficult to approximate and analyze. Moreover, their real time solution makes the study of their parallel processing necessary. The development of parallelization methodologies to support the mapping of option valuation models on parallel machines including networks of workstations.