Going Parallel Over the Rainbow

Abstract

Some parallel algorithms are proposed to speed up computation of multivariate lattices used to evaluate rainbow options. These novel algorithms have been programmed using multi-threaded syntax in Gauss of Aptech honing codes for 32 and 128 cores machines. Actual scaling is linear or superlinear in excess of Amdahl theoretical thresholds. Rainbow options have been valued with several multivariate lattices models programmed according to our parallelization algorithms providing results not found in extant literature in terms of granularity and convergence.

Keywords: multivariate binomial lattice, multivariate trinomial lattice, parallel computing, HPC, multicore CPU, multithreaded programming, pthreads, OpenMP

JEL Classification: G13, G31