Related papers: Parallel Binomial American Option Pricing with (an…
The Black-Scholes option pricing problem is one of the widely used financial benchmarks. We explore the possibility of developing a high-performance portable code using the SYCL (Data Parallel C++) programming language. We start from a C++…
Hamiltonian approach in quantum mechanics provides a new thinking for barrier option pricing. For proportional floating barrier step options, the option price changing process is similar to the one dimensional trapezoid potential barrier…
We study ordinal makespan scheduling on small numbers of identical machines, with respect to two parallel solutions. In ordinal scheduling, it is known that jobs are sorted by non-increasing sizes, but the specific sizes are not known in…
The most efficient way to calculate strong bisimilarity is by calculation the relational coarsest partition on a transition system. We provide the first linear time algorithm to calculate strong bisimulation using parallel random access…
We study the explicit calculation of the set of superhedging portfolios of contingent claims in a discrete-time market model for d assets with proportional transaction costs. The set of superhedging portfolios can be obtained by a recursive…
Chance constrained program is computationally intractable due to the existence of chance constraints, which are randomly disturbed and should be satisfied with a probability. This paper proposes a two-layer randomized algorithm to address…
The ordered set is one of the most important data type in both theoretical algorithm design and analysis and practical programming. In this paper we study the set operations on two ordered sets, including Union, Intersect and Difference,…
Sequential algorithms for the Stable Matching Problem are often too slow in the context of some large scale applications like switch scheduling. Parallel architectures can offer a notable decrease in runtime complexity. We propose a stable…
Current main memory database system architectures are still challenged by high contention workloads and this challenge will continue to grow as the number of cores in processors continues to increase. These systems schedule transactions…
The number of triangles in a graph is a fundamental metric, used in social network analysis, link classification and recommendation, and more. Driven by these applications and the trend that modern graph datasets are both large and dynamic,…
In this Article, a fast numerical numerical algorithm for pricing discrete double barrier option is presented. According to Black-Scholes model, the price of option in each monitoring date can be evaluated by a recursive formula upon the…
We revisit existing linear computation coding (LCC) algorithms, and introduce a new framework that measures the computational cost of computing multidimensional linear functions, not only in terms of the number of additions, but also with…
Partitioning graphs into blocks of roughly equal size such that few edges run between blocks is a frequently needed operation in processing graphs. Recently, size, variety, and structural complexity of these networks has grown dramatically.…
Adaptive indexing is a concept that considers index creation in databases as a by-product of query processing; as opposed to traditional full index creation where the indexing effort is performed up front before answering any queries.…
Algorithms for efficiently finding optimal alphabetic decision trees -- such as the Hu-Tucker algorithm -- are well established and commonly used. However, such algorithms generally assume that the cost per decision is uniform and thus…
We propose a neural network approach to price EU call options that significantly outperforms some existing pricing models and comes with guarantees that its predictions are economically reasonable. To achieve this, we introduce a class of…
We propose a deep neural network framework for computing prices and deltas of American options in high dimensions. The architecture of the framework is a sequence of neural networks, where each network learns the difference of the price…
We study shortfall risk minimization for American options with path dependent payoffs under proportional transaction costs in the Black--Scholes (BS) model. We show that for this case the shortfall risk is a limit of similar terms in an…
The paper deals with the developing of the methodological backgrounds for the modeling and simulation of complex dynamical objects. Such backgrounds allow us to perform coordinate transformation and formulate the algorithm of its usage for…
We present a model of multithreaded computation, combining fork-join and single-instruction-multiple-data parallelisms, with an emphasis on estimating parallelism overheads of programs written for modern many-core architectures. We…