BINOMIAL OPTIONS PRICING MODEL COMPUTATIONS USING A PARALLEL PROCESSOR

摘要

Binomial options pricing model computations are performed on node values of a lattice using a parallel processor such as a single-instruction, multiple-data processor. The parallel processor stores computational data in on-chip memory. Data to be processed by a group of threads executing the binomial options pricing model computations is read from the external memory in swaths and stored in a first on-chip memory, while a copy of data to be processed at a later time by the group of threads is stored in a second on-chip memory. Data in the first on-chip memory is processed for multiple time steps before being written to the external memory. Processing data multiple times and keeping a copy of data for later use reduces the amount of data to be retrieved from memory, thereby improving computational efficiency.