Some parallel algorithms are proposed to speed up computation of multivariatelattices used to evaluate rainbow options. These novel algorithms have been programmed using multi-threaded syntax in Gauss(tm) of Aptech h...
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ISBN:
(纸本)9781479953134
Some parallel algorithms are proposed to speed up computation of multivariatelattices used to evaluate rainbow options. These novel algorithms have been programmed using multi-threaded syntax in Gauss(tm) 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 multivariatelattices models programmed according to our parallelization algorithms providing results not found in extant literature in terms of granularity and convergence.
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