A special feature of Probability and Statistics Day at UMBC 2013 is that the conference, including the workshop, is open to all statistics graduate students
from UMBC and local universites free of charge; however, REGISTRATION IS REQUIRED! The deadline to register is Friday,
April 12, 2013. // REGISTER NOW
For more information, contact any member of the organizing committee:
Bimal Sinha
Conference Chair
443.538.3012
Kofi Adragni
410.455.2406
Yvonne Huang
410.455.2422
Yaakov Malinovsky
410.455.2968
Thomas Mathew
410.455.2418
Nagaraj Neerchal
410.455.2437
DoHwan Park
410.455.2408
Junyong Park
410.455.2407
Anindya Roy
410.455.2435
Elizabeth Stanwyck
410.455.5731
Participant Information
Sai Kumar Popuri
Poster: An Implementation of Binomial Method of Option Pricing using Parallel Computing
The Binomial method of option pricing is based on iterating over discounted option payoffs in a recursive fashion to calculate the present value of an option. Implementing the Binomial method to exploit the resources of a parallel computing cluster is non-trivial as the method is not easily parallelizable. We propose a procedure to transform the method into an ``embarrassingly parallel'' problem by mapping Binomial probabilities to Bernoulli paths. We believe that this approach is attractive to price a certain class of path-dependent options. With high-performance clusters and multi-core desktops becoming increasingly accessible, we believe that our method will have practical appeal to financial trading firms. We have used the parallel computing capabilities in R with the Rmpi package to implement the methodology on the cluster tara in the UMBC High Performance Computing Facility, which has 82 compute nodes with two quad-core Intel Nehalem processors and 24 GB of memory on a quad-data rate InfiniBand interconnect.
