Parallel Binomial Valuation of American Options with Proportional Transaction Costs

Alet Roux; Tomasz Zastawniak; Nan Zhang

doi:10.1007/978-3-642-24151-2_7

Parallel Binomial Valuation of American Options with Proportional Transaction Costs

Alet Roux, Tomasz Zastawniak, Nan Zhang

Mathematics

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

We present a multi-threaded parallel algorithm that computes the ask and bid prices of American options with the asset transaction costs being taken into consideration. The parallel algorithm is based on the recombining binomial tree model, and is designed for modern shared-memory multi-core processors. Although parallel pricing algorithms for American options have been well studied, the cases with transaction costs have not been addressed. The parallel algorithm was implemented via POSIX Threads, and was tested. The results demonstrated that the approach was efficient and light-weighted. Reasonable speedups were gained on problems of small sizes.

Original language	English
Title of host publication	Advanced Parallel Processing Technologies
Subtitle of host publication	9th International Symposium, APPT 2011, Shanghai, China, September 26-27, 2011. Proceedings
Editors	Olivier Temam, Pen-Chung Yew, Binyu Zang
Publisher	Springer
Pages	88-97
Number of pages	10
Volume	6965/2011
ISBN (Electronic)	978-3-642-24151-2
ISBN (Print)	978-3-642-24150-5
DOIs	https://doi.org/10.1007/978-3-642-24151-2_7
Publication status	Published - 2011

Publication series

Name	Lecture Notes in Computer Science
Publisher	Springer Berlin / Heidelberg
Number	2011
Volume	6965
ISSN (Print)	0302-9743
ISSN (Electronic)	1611-3349

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10.1007/978-3-642-24151-2_7

http://www.springerlink.com/content/g876004g45j02183/abstract/

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Roux, A., Zastawniak, T., & Zhang, N. (2011). Parallel Binomial Valuation of American Options with Proportional Transaction Costs. In O. Temam, P.-C. Yew, & B. Zang (Eds.), Advanced Parallel Processing Technologies: 9th International Symposium, APPT 2011, Shanghai, China, September 26-27, 2011. Proceedings (Vol. 6965/2011, pp. 88-97). (Lecture Notes in Computer Science; Vol. 6965, No. 2011). Springer. https://doi.org/10.1007/978-3-642-24151-2_7

Roux, Alet ; Zastawniak, Tomasz ; Zhang, Nan. / Parallel Binomial Valuation of American Options with Proportional Transaction Costs. Advanced Parallel Processing Technologies: 9th International Symposium, APPT 2011, Shanghai, China, September 26-27, 2011. Proceedings. editor / Olivier Temam ; Pen-Chung Yew ; Binyu Zang. Vol. 6965/2011 Springer, 2011. pp. 88-97 (Lecture Notes in Computer Science; 2011).

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title = "Parallel Binomial Valuation of American Options with Proportional Transaction Costs",

abstract = "We present a multi-threaded parallel algorithm that computes the ask and bid prices of American options with the asset transaction costs being taken into consideration. The parallel algorithm is based on the recombining binomial tree model, and is designed for modern shared-memory multi-core processors. Although parallel pricing algorithms for American options have been well studied, the cases with transaction costs have not been addressed. The parallel algorithm was implemented via POSIX Threads, and was tested. The results demonstrated that the approach was efficient and light-weighted. Reasonable speedups were gained on problems of small sizes. ",

author = "Alet Roux and Tomasz Zastawniak and Nan Zhang",

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Roux, A , Zastawniak, T & Zhang, N 2011, Parallel Binomial Valuation of American Options with Proportional Transaction Costs. in O Temam, P-C Yew & B Zang (eds), Advanced Parallel Processing Technologies: 9th International Symposium, APPT 2011, Shanghai, China, September 26-27, 2011. Proceedings. vol. 6965/2011, Lecture Notes in Computer Science, no. 2011, vol. 6965, Springer, pp. 88-97. https://doi.org/10.1007/978-3-642-24151-2_7

Parallel Binomial Valuation of American Options with Proportional Transaction Costs. / Roux, Alet ; Zastawniak, Tomasz; Zhang, Nan.
Advanced Parallel Processing Technologies: 9th International Symposium, APPT 2011, Shanghai, China, September 26-27, 2011. Proceedings. ed. / Olivier Temam; Pen-Chung Yew; Binyu Zang. Vol. 6965/2011 Springer, 2011. p. 88-97 (Lecture Notes in Computer Science; Vol. 6965, No. 2011).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

TY - GEN

T1 - Parallel Binomial Valuation of American Options with Proportional Transaction Costs

AU - Roux, Alet

AU - Zastawniak, Tomasz

AU - Zhang, Nan

PY - 2011

Y1 - 2011

N2 - We present a multi-threaded parallel algorithm that computes the ask and bid prices of American options with the asset transaction costs being taken into consideration. The parallel algorithm is based on the recombining binomial tree model, and is designed for modern shared-memory multi-core processors. Although parallel pricing algorithms for American options have been well studied, the cases with transaction costs have not been addressed. The parallel algorithm was implemented via POSIX Threads, and was tested. The results demonstrated that the approach was efficient and light-weighted. Reasonable speedups were gained on problems of small sizes.

AB - We present a multi-threaded parallel algorithm that computes the ask and bid prices of American options with the asset transaction costs being taken into consideration. The parallel algorithm is based on the recombining binomial tree model, and is designed for modern shared-memory multi-core processors. Although parallel pricing algorithms for American options have been well studied, the cases with transaction costs have not been addressed. The parallel algorithm was implemented via POSIX Threads, and was tested. The results demonstrated that the approach was efficient and light-weighted. Reasonable speedups were gained on problems of small sizes.

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DO - 10.1007/978-3-642-24151-2_7

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VL - 6965/2011

T3 - Lecture Notes in Computer Science

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A2 - Yew, Pen-Chung

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Roux A , Zastawniak T, Zhang N. Parallel Binomial Valuation of American Options with Proportional Transaction Costs. In Temam O, Yew PC, Zang B, editors, Advanced Parallel Processing Technologies: 9th International Symposium, APPT 2011, Shanghai, China, September 26-27, 2011. Proceedings. Vol. 6965/2011. Springer. 2011. p. 88-97. (Lecture Notes in Computer Science; 2011). doi: 10.1007/978-3-642-24151-2_7

Parallel Binomial Valuation of American Options with Proportional Transaction Costs

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