Going Parallel Over the Rainbow

30 Pages Posted: 8 Dec 2013

See all articles by Giuseppe Alesii

Giuseppe Alesii

University of L'Aquila - Department of Information Engineering, Computer Science

Date Written: December 8, 2013

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

Suggested Citation

Alesii, Giuseppe, Going Parallel Over the Rainbow (December 8, 2013). Available at SSRN: https://ssrn.com/abstract=2365005 or http://dx.doi.org/10.2139/ssrn.2365005

Giuseppe Alesii (Contact Author)

University of L'Aquila - Department of Information Engineering, Computer Science ( email )

Via Vetoio
Coppito 1
Coppito di L'Aquila AQ, AQ 67010
Italy
0039-862-433156 (Phone)
0039-862-433180 (Fax)

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