The code developed and made available under the link below was from a project supported in part by NSF grant NSF/ITR ISS-0324816. Any opinions, findings, and conclusions or recommendations expressed in this material are those of the author(s) and do not necessarily reflect the views of the National Science Foundation.
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.
Last Update: Apr 2, 2009