Architecture independent parallel binomial tree option price valuations
We introduce an architecture independent approach in describing how computations such as those involved in American or European-style option price valuations can be performed in parallel under the binomial tree model. We describe a latency-tolerant parallel algorithm for the multiplicative binomial tree option pricing model. The algorithm is described and analyzed in an architecture independent setting and performance characteristics are expressed in terms of problem size n, the time horizon, and the parameters p, L and g of the bulk-synchronous parallel model of computation. The algorithm achieves optimal theoretical speedup and is within a 1+o(1) multiplicative factor of the corresponding sequential method. An experimental study of an implementation of the algorithm on a cluster of PC workstations is also undertaken to examine the latency-tolerance of our approach. The implementation with only a recompilation of the same source code works under two diverse parallel programming libraries namely, MPI and BSPlib, thus making it not only architecture but also communication library independent.
architecture independent binomial tree option price valuation bulk-synchronous parallel model mpi