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Content Provider | ACM Digital Library |
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Author | Wei, DaiZhen Peng, Ying Dai, Bin Liu, Hui |
Abstract | Option pricing is one of the most important parts in the field of financial derivatives pricing and risk management. To promote precision of pricing, we use an parallel method based on BSDE(Backward Stochastic Differential Equation) model, which is a widely used numerical model in financial computing domain.BSDE model can improve the accuracy and effectiveness of option pricing. X10 is a high level high-performance programming language with new concurrency constructs, namely, places, asyncs, finish, atomic and clock. X10 also provides a rich array language which includes region, distributions and distributed arrays. In this paper, we present how to utilize X10's properties to implement option pricing with BSDE model. Experimental results show that the parallel program implemented in x10 can achieve a superior performance and nicer speedup. It can be widely used in financial area. |
Starting Page | 1 |
Ending Page | 4 |
Page Count | 4 |
File Format | |
ISBN | 9781450307703 |
DOI | 10.1145/2212736.2212741 |
Language | English |
Publisher | Association for Computing Machinery (ACM) |
Publisher Date | 2011-06-04 |
Publisher Place | New York |
Access Restriction | Subscribed |
Subject Keyword | Option pricing X10 Bsde |
Content Type | Text |
Resource Type | Article |
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