Publication: A Threaded Parallel Code for Pricing Discrete Asian Options on SMP Systems

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Title	A Threaded Parallel Code for Pricing Discrete Asian Options on SMP Systems
Authors/Editors*	B. Ge, A. B. MacIsaac, H. Rasmussen
Where published*	HPCS 2006
How published*	Journal
Year*	2006
Volume	-1
Number	-1
Pages
Publisher	IEEE
Keywords
Link	http://csdl2.computer.org/persagen/DLAbsToc.jsp?resourcePath=/dl/proceedings/&toc=comp/proceedings/hpcs/2006/2582/00/2582toc.xml&DOI=10.1109/HPCS.2006.9
Abstract	This paper discusses the implementation and performance of a parallel algorithm for pricing discrete Asian options. Using a partial differential equation (PDE) based method, one attempts to solve simultaneously many PDEs on a Cartesian grid in the direction of underlying asset S then followed by an interpolation in the orthogonal direction A - average of the underlying - at each time step. This leads one to consider algorithms to perform such calculations in parallel. The interpolation is non-local, thus it requires a global data access to A. This requires that an efficient parallel implementation must minimize the cost of data movement among processes. We describe in this paper three implementations: one using message passing interface (MPI), one using OpenMP and one using POSIX threads through a high level FORTRAN API. We then discuss the performances of these three implementations on different platforms.