An Implementation of Binomial Method of Option Pricing using Parallel Computing
| dc.contributor.author | Popuri, Sai K. | |
| dc.contributor.author | Raim, Andrew M. | |
| dc.contributor.author | Neerchal, Nagaraj K. | |
| dc.contributor.author | Gobbert, Matthias K. | |
| dc.date.accessioned | 2018-10-15T13:48:31Z | |
| dc.date.available | 2018-10-15T13:48:31Z | |
| dc.description.abstract | The Binomial method of option pricing is based on iterating over discounted option payoffs in a recursive fashion to calculate the present value of an option. Implementing the Binomial method to exploit the resources of a parallel computing cluster is non-trivial as the method is not easily parallelizable. We propose a procedure to transform the method into an “embarrassingly parallel” problem by mapping Binomial probabilities to Bernoulli paths. We have used the parallel computing capabilities in R with the Rmpi package to implement the methodology on the cluster tara in the UMBC High Performance Computing Facility, which has 82 compute nodes with two quad-core Intel Nehalem processors and 24 GB of memory on a quad-data rate InfiniBand interconnect. With high-performance clusters and multi-core desktops becoming increasingly accessible, we believe that our method will have practical appeal to financial trading firms. | en_US |
| dc.description.uri | https://userpages.umbc.edu/~gobbert/papers/PopuriEtAl_Binomial.pdf | en_US |
| dc.format.extent | 11 pages | en_US |
| dc.genre | Technical Report | en_US |
| dc.identifier | doi:10.13016/M2J67912G | |
| dc.identifier.uri | http://hdl.handle.net/11603/11536 | |
| dc.language.iso | en_US | en_US |
| dc.relation.isAvailableAt | The University of Maryland, Baltimore County (UMBC) | |
| dc.relation.ispartof | UMBC Center for Interdisciplinary Research and Consulting (CIRC) | |
| dc.relation.ispartof | UMBC Mathematics and Statistics Department | |
| dc.relation.ispartof | UMBC Faculty Collection | |
| dc.relation.ispartofseries | HPCF Technical Report;HPCF-2013-1 | |
| dc.rights | This item is likely protected under Title 17 of the U.S. Copyright Law. Unless on a Creative Commons license, for uses protected by Copyright Law, contact the copyright holder or the author. | |
| dc.subject | Option | en_US |
| dc.subject | Call | en_US |
| dc.subject | Put | en_US |
| dc.subject | Binomial Model | en_US |
| dc.subject | Bernoulli Path | en_US |
| dc.subject | Parallel Computing | en_US |
| dc.subject | UMBC High Performance Computing Facility (HPCF) | en_US |
| dc.title | An Implementation of Binomial Method of Option Pricing using Parallel Computing | en_US |
| dc.type | Text | en_US |