This is the new distribution for parallel option prices valuations on binomial and trinomial trees and using the explicit finite difference method. The algorithms implemented are updated versions of the ones available separately elsewhere in this page. The supplied code is now not only architecture independent but also parallel communication library independent. We have tested the same source under BSPlib, PUB, LAM MPI-2, and Critical Software's WMPI. The code for the first three libraries was tested in a Linux environment using gcc and in the latter library (WMPI) in a Windows 2000 environment using Microsoft's Visual C++ compiler. The supplied code needs to be changed (include file should include for example stdafx.h) to run under WMPI however. An example of the modifications required is provided.
Last Update: Jun 16, 2004