By the same authors

Parallel Binomial Valuation of American Options with Proportional Transaction Costs

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Standard

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-Verlag, 2011. p. 88-97 (Lecture Notes in Computer Science; Vol. 6965, No. 2011).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Harvard

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-Verlag, pp. 88-97. https://doi.org/10.1007/978-3-642-24151-2_7

APA

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-Verlag. https://doi.org/10.1007/978-3-642-24151-2_7

Vancouver

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

Author

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-Verlag, 2011. pp. 88-97 (Lecture Notes in Computer Science; 2011).

Bibtex - Download

@inproceedings{7d4b4a74227a4a6e8ee99b5da5380172,
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",
year = "2011",
doi = "10.1007/978-3-642-24151-2_7",
language = "English",
isbn = "978-3-642-24150-5",
volume = "6965/2011",
series = "Lecture Notes in Computer Science",
publisher = "Springer-Verlag",
number = "2011",
pages = "88--97",
editor = "Olivier Temam and Pen-Chung Yew and Binyu Zang",
booktitle = "Advanced Parallel Processing Technologies",
address = "Germany",

}

RIS (suitable for import to EndNote) - Download

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.

UR - http://www.scopus.com/inward/record.url?scp=80053191881&partnerID=8YFLogxK

U2 - 10.1007/978-3-642-24151-2_7

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

M3 - Conference contribution

SN - 978-3-642-24150-5

VL - 6965/2011

T3 - Lecture Notes in Computer Science

SP - 88

EP - 97

BT - Advanced Parallel Processing Technologies

A2 - Temam, Olivier

A2 - Yew, Pen-Chung

A2 - Zang, Binyu

PB - Springer-Verlag

ER -