Physical Sciences and Mathematics Commons^™

Software Issues And Performance Of A Parallel Model For Stock Option Pricing, Kim Mills, Gang Cheng, Michael Vinson, Sanjay Ranka

Northeast Parallel Architecture Center

The finance industry is beginning to adopt parallel computing for numerical computation, and will soon be in a position to use parallel supercomputers. This paper examines software issues and performance of a stock option pricing model running on the Connection Machine-2 and DECmpp-12000. Pricing models incorporating stochastic volatility with American call (early exercise) are computationally intensive and require substantial communication. Three parallel versions of a stock option pricing model were developed which varied in data distribution, load balancing, and communication. The performance of this set of increasingly refined models ranged over no improvement, 10 times, and 100 times faster than …