Related papers: Parallel Binomial American Option Pricing with (an…
In this paper we propose an efficient method to compute the price of multi-asset American options, based on Machine Learning, Monte Carlo simulations and variance reduction technique. Specifically, the options we consider are written on a…
Parallel algorithms for ab initio calculations of vibrations modes of solids are presented and implemented under PVM. Load balancing and communication problems are dealt with in order to increase parallelism efficiency. For accurate time…
This article presents fast lower and upper estimates for a large class of options: the class of constrained multiple exercise American options. Typical options in this class are swing options with volume and timing constraints, and passport…
Real-time systems increasingly use multicore processors in order to satisfy thermal, power, and computational requirements. To exploit the architectural parallelism offered by the multicore processors, parallel task models, scheduling…
We consider the robust pricing and hedging of American options in a continuous time setting. We assume asset prices are continuous semimartingales, but we allow for general model uncertainty specification via adapted closed convex…
We reconsider the valuation of barrier options by means of binomial trees from a "forward looking" prospective rather than the more conventional "backward induction" one used by standard approaches. This reformulation allows us to write…
Tree kernels are fundamental tools that have been leveraged in many applications, particularly those based on machine learning for Natural Language Processing tasks. In this paper, we devise a parallel implementation of the sequential…
This article introduces a highly parallel algorithm for molecular dynamics simulations with short-range forces on single node multi- and many-core systems. The algorithm is designed to achieve high parallel speedups for strongly…
The approximate minimum degree algorithm is widely used before numerical factorization to reduce fill-in for sparse matrices. While considerable attention has been given to the numerical factorization process, less focus has been placed on…
We parallelize several previously proposed algorithms for the minimum routing cost spanning tree problem and some related problems.
Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorithm for the numerical solution of optimal stopping problems in…
In this paper, we develop a new method for finding an optimal biddingstrategy in sequential auctions, using a dynamic programming technique. Theexisting method assumes that the utility of a user is represented in anadditive form. Thus, the…
We consider a parallel version of a classical Bayesian search problem. $k$ agents are looking for a treasure that is placed in one of the boxes indexed by $\mathbb{N}^+$ according to a known distribution $p$. The aim is to minimize the…
This work presents a comparison for the performance of sequential sorting algorithms under four different modes of execution, the sequential processing mode, a conventional multi-threading implementation, multi-threading with OpenMP Library…
Today's PCs can directly manipulate numbers not longer than 64 bits because the size of the CPU registers and the data-path are limited. Consequently, arithmetic operations such as addition, can only be performed on numbers of that length.…
We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional continuous time model, in which the discounted stock price process satisfies the conditional full support…
The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can be described as \begin{equation*}…
This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset American options we investigate by ample numerical experiments…
Parallel processing is a principle which enables simultaneous implementation of anesthesia induction and operating room (OR) turnover with the aim of improving OR utilization. In this article, we study the problem of scheduling surgeries…
Pairs-trading is a trading strategy that involves matching a long position with a short position in two stocks aiming at market-neutral profits. While a typical pairs-trading system monitors the prices of two statistically correlated stocks…