Multithreaded algorithms for pricing a class of complex options

In this paper, we study multithreaded algorithms for pricing American Style options. We describe the algorithms, explain their relative complexities, and study their performance. The binomial lattice problem has been formulated in two distinct ways. In the first approach, the recursive algorithm, we establish a parent-child relationship between threads while fully exploiting the inherent parallelism. The second approach, the iterative algorithm, follows a data-flow model based on the producer-consumer style of programming. We implement the algorithms on the EARTH platform. The limitations posed by the problem size on the recursive algorithm and the solution to overcome this problem by the iterative algorithm are explained through the performance results. We have then extended these algorithms to study complicated options with dividend paying underlying assets and reported the performance results.