A.V. Gerbessiotis: Option Price Valuations with the explicit finite difference method

Option price valuations with the explicit finite difference method: Sequential and Parallel

Explicit Finite Difference Method Option price valuations using the Black-Scholes method are realized in parallel using the explicit finite difference method. The algorithm is designed and analyzed under the BSP model and show to be one-optimal (BSP-speak). The algorithm has been implemented in an architecture independent way and runs with recompilation only under BSPlib and LAM-MPI. An experimental study has been carried out on a moderate size cluster of SMP PC-Workstations. A research paper describing the algorithm and the experimental study is available on the Publications link of the Web-page. The software code developed as part of the implementation is also available below.

tars/efdm03.tar (July 10, 2007) Current Version of Parallel program to evaluate option prices in parallel with the explicit finite difference method. Untar file, read copyright notice in file copy. Sequential code is available in directory Seq. Read also file efdm.rdm.

Last Update: July 10, 2007