Gang Cheng

The nance industry is beginning to adopt parallel computing for numeri-cal computation, and will soon be in a position to use parallel supercomputers. This paper examines software issues and performance of a stock option pric-ing model running on the Connection Machine-2 and DECmpp-12000. Pricing models incorporating stochastic volatility with American call (early exercise) are computationally intensive and require substantial communication. Three paral-lel versions of a stock option pricing model were developed which varied in data distribution, load balancing, and communication. The performance of this set of increasingly rened models ranged over no improvement, 10 times, and 100 times faster than a sequential model. A straightforward approach to this prob-lem involves use of two-dimensional dynamic arrays. When asymmetric array