Concurrency and Computation: Practice and Experience

Research Article

Parallel simulation of high-dimensional American option pricing based on CPU versus MIC

Corresponding Author

Yonghong Hu

School of Statistics, Central University of Finance and Economics, Beijing, 100081, China

Correspondence to: Yonghong Hu, School of Statistics, Central University of Finance and Economics, Beijing, 100081, China.

E-mail: [email protected]

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Qiang Li,

Qiang Li

Supercomputing Center, Computer Network Information Center, Chinese Academy of Sciences, Beijing, 100190, China

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Zongyan Cao,

Zongyan Cao

Supercomputing Center, Computer Network Information Center, Chinese Academy of Sciences, Beijing, 100190, China

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Jue Wang,

Jue Wang

Supercomputing Center, Computer Network Information Center, Chinese Academy of Sciences, Beijing, 100190, China

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Yonghong Hu,

Corresponding Author

Yonghong Hu

School of Statistics, Central University of Finance and Economics, Beijing, 100081, China

Correspondence to: Yonghong Hu, School of Statistics, Central University of Finance and Economics, Beijing, 100081, China.

E-mail: [email protected]

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Qiang Li,

Qiang Li

Supercomputing Center, Computer Network Information Center, Chinese Academy of Sciences, Beijing, 100190, China

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Zongyan Cao,

Zongyan Cao

Supercomputing Center, Computer Network Information Center, Chinese Academy of Sciences, Beijing, 100190, China

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Jue Wang,

Jue Wang

Supercomputing Center, Computer Network Information Center, Chinese Academy of Sciences, Beijing, 100190, China

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First published: 11 April 2014

https://doi.org/10.1002/cpe.3275

Citations: 7

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Summary

American option pricing is a high-dimensional problem, and its computational challenges have attracted significant attention. We examine this problem using a stochastic mesh method enhanced with bias reduction within the classic Black–Scholes framework. We present Many Integrated Core (MIC) parallelization and acceleration techniques, which result in significant numerical acceleration for large-scale simulations. In particular, we observe speed-ups of 21-fold and 28-fold for CPU and MIC, respectively, over conventional means. Convergence performance is also examined. Copyright © 2014 John Wiley & Sons, Ltd.

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Volume27, Issue5

10 April 2015

Pages 1110-1121

Parallel simulation of high-dimensional American option pricing based on CPU versus MIC

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Parallel simulation of high-dimensional American option pricing based on CPU versus MIC

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