Some parallel algorithms are proposed to speed up computation of multivariate lattices used to evaluate rainbow options. These novel algorithms have been programmed using multi-threaded syntax in Gausstm of Aptech honing codes for 32 and 128 cores machines. Actual scaling is linear or superlinear in excess of Amdahl theoretical thresholds. Rainbow options have been valued with several multivariate lattices models programmed according to our parallelization algorithms providing results not found in extant literature in terms of granularity and convergence. Keywords: Rainbow Options, multivariate binomial lattices, multivariate trinomial lattices, parallel computation, multithreaded programming, multicore machines.

Going Parallel over the Rainbow

ALESII, GIUSEPPE
2014-01-01

Abstract

Some parallel algorithms are proposed to speed up computation of multivariate lattices used to evaluate rainbow options. These novel algorithms have been programmed using multi-threaded syntax in Gausstm of Aptech honing codes for 32 and 128 cores machines. Actual scaling is linear or superlinear in excess of Amdahl theoretical thresholds. Rainbow options have been valued with several multivariate lattices models programmed according to our parallelization algorithms providing results not found in extant literature in terms of granularity and convergence. Keywords: Rainbow Options, multivariate binomial lattices, multivariate trinomial lattices, parallel computation, multithreaded programming, multicore machines.
978-1-4799-5312-7
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/38334
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 0
  • ???jsp.display-item.citation.isi??? 71
social impact