Quotation Schabauer, Hannes, Hochreiter, Ronald, Ch. Pflug, Georg. 2008. Parallelization of Pricing Path-Dependent Financial Instruments on Bounded Trinomial Lattices. Lecture Notes in Computer Science 5102 408-415.


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Abstract

Complex financial instruments are a central concept for the survival of financial enterprises in liberalized markets. The need for fast pricing of more complex and exotic financial products led to the development of new algorithms, and to the parallelization of existing algorithms. In this paper, we present a parallelization scheme for pricing path-dependent interest rate products on bounded trinomial lattices. The basic building block presented in this paper can be used to build more complex pricing schemes. The paper is concluded by a set of numerical results concerning the speedup of the proposed parallelization scheme.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Lecture Notes in Computer Science (LNCS)
WU-Journal-Rating new STRAT-C
Language English
Title Parallelization of Pricing Path-Dependent Financial Instruments on Bounded Trinomial Lattices
Volume 5102
Year 2008
Page from 408
Page to 415
Reviewed? Y
URL http://www.springerlink.com/content/eq12335g02171044/

Associations

People
Hochreiter, Ronald (Details)
External
Ch. Pflug, Georg
Schabauer, Hannes
Organization
Institute for Statistics and Mathematics IN (Details)
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