Parallel Binomial American Option Pricing under Proportional Transaction Costs
نویسندگان
چکیده
منابع مشابه
Parallel Binomial American Option Pricing under Proportional Transaction Costs
We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to trading in the underlying asset. The algorithm computes the prices on recombining binomial trees, and is designed for modern multi-core processors. Although parallel option pricing has been well studied, none of the existing approaches takes transaction costs i...
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We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to the trading of the underlying asset. The algorithm computes the prices on recombining binomial trees, and is designed for modern multi-core processors. Although parallel option pricing has been well studied, none of the existing approaches takes transaction cos...
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ژورنال
عنوان ژورنال: Applied Mathematics
سال: 2012
ISSN: 2152-7385,2152-7393
DOI: 10.4236/am.2012.311245