Parallel algorithm for pricing American Asian options with multi-dimensional assets

被引：0
|
作者：
Huang, K [1 ]
Thulasiram, RK [1 ]
机构：
[1] Univ Manitoba, Dept Comp Sci, Winnipeg, MB R3T 2N2, Canada
来源：
HPCS 2005: 19TH INTERNATIONAL SYMPOSIUM ON HIGH PERFORMANCE COMPUTING SYSTEMS AND APPLICATIONS, PROCEEDINGS | 2005年
关键词：
D O I：
暂无
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
In this paper, we develop parallel algorithms for pricing American-style Asian options employing binomial tree method We describe the algorithm, explain the complexities, and study the performance. We have extended our algorithm to handle Asian options with up to 10 underlying assets and shown that the multi-asset Asian options offer a better problem for parallel computation.
引用
收藏
页码：177 / 185
页数：9
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