Parallel Binomial American Option Pricing under Proportional Transaction Costs

• 作者: Alet Roux Nan Zhang Tomasz Zastawniak
• 来源期刊: 应用数学(英文)
• 学科: 医学
• 关键词: PARALLEL Algorithm American OPTION PRICING BINOMIAL Tree Model TRANSACTION COSTS
• 年，卷（期）: 2012,（11）
• 页码范围: 1795-1810
• 页数: 16页
• 分类号: R73

摘要

We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to trading in the underlying asset. The algorithm computes the prices on recombining binomial trees, and is designed for modern multi-core processors. Although parallel option pricing has been well studied, none of the existing approaches takes transaction costs into consideration. The algorithm that we propose partitions a binomial tree into blocks. In any round of computation a block is further partitioned into regions which are assigned to distinct processors. To minimise load imbalance the assignment of nodes to processors is dynamically adjusted before each new round starts. Synchronisation is required both within a round and between two successive rounds. The parallel speedup of the algorithm is proportional to the number of processors used. The parallel algorithm was implemented in C/C++ via POSIX Threads, and was tested on a machine with 8 processors. In the pricing of an American put option, the parallel speedup against an efficient sequential implementation was 5.26 using 8 processors and 1500 time steps, achieving a parallel efficiency of 65.75%.