{"id":"https://openalex.org/W1831254627","doi":"https://doi.org/10.1109/icppw.2002.1039745","title":"Performance evaluation of parallel algorithms for pricing multidimensional financial derivatives","display_name":"Performance evaluation of parallel algorithms for pricing multidimensional financial derivatives","publication_year":2003,"publication_date":"2003-06-25","ids":{"openalex":"https://openalex.org/W1831254627","doi":"https://doi.org/10.1109/icppw.2002.1039745","mag":"1831254627"},"language":"en","primary_location":{"id":"doi:10.1109/icppw.2002.1039745","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icppw.2002.1039745","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings. International Conference on Parallel Processing Workshop","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5013006175","display_name":"Ruppa K. Thulasiram","orcid":"https://orcid.org/0000-0002-6519-3929"},"institutions":[{"id":"https://openalex.org/I46247651","display_name":"University of Manitoba","ror":"https://ror.org/02gfys938","country_code":"CA","type":"education","lineage":["https://openalex.org/I46247651"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"R.K. Thulasiram","raw_affiliation_strings":["Department of Computer Science, University of Manitoba, Winnipeg, MB, Canada","University of Manitoba, Winnipeg, MB, CA"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University of Manitoba, Winnipeg, MB, Canada","institution_ids":["https://openalex.org/I46247651"]},{"raw_affiliation_string":"University of Manitoba, Winnipeg, MB, CA","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5083619158","display_name":"D.A. Dondarenko","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"D.A. Dondarenko","raw_affiliation_strings":["Dept. of Comput. Sci., Manitoba Univ., Winnipeg, Man., Canada"],"affiliations":[{"raw_affiliation_string":"Dept. of Comput. Sci., Manitoba Univ., Winnipeg, Man., Canada","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5013006175"],"corresponding_institution_ids":["https://openalex.org/I46247651"],"apc_list":null,"apc_paid":null,"fwci":1.1692,"has_fulltext":false,"cited_by_count":17,"citation_normalized_percentile":{"value":0.81902985,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":"7","issue":null,"first_page":"306","last_page":"313"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9969000220298767,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9969000220298767,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9843999743461609,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9779000282287598,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6394364237785339},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.3822576403617859},{"id":"https://openalex.org/keywords/parallel-computing","display_name":"Parallel computing","score":0.3631407916545868},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.32168325781822205},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.10872220993041992}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6394364237785339},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.3822576403617859},{"id":"https://openalex.org/C173608175","wikidata":"https://www.wikidata.org/wiki/Q232661","display_name":"Parallel computing","level":1,"score":0.3631407916545868},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.32168325781822205},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.10872220993041992}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/icppw.2002.1039745","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icppw.2002.1039745","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings. International Conference on Parallel Processing Workshop","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.5699999928474426,"id":"https://metadata.un.org/sdg/9","display_name":"Industry, innovation and infrastructure"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":10,"referenced_works":["https://openalex.org/W1558904529","https://openalex.org/W1571438983","https://openalex.org/W1964766724","https://openalex.org/W2076309462","https://openalex.org/W2077791698","https://openalex.org/W2090083338","https://openalex.org/W2098612888","https://openalex.org/W2122427319","https://openalex.org/W2146612430","https://openalex.org/W3002174615"],"related_works":["https://openalex.org/W2748952813","https://openalex.org/W2051487156","https://openalex.org/W2073681303","https://openalex.org/W2390279801","https://openalex.org/W2358668433","https://openalex.org/W2376932109","https://openalex.org/W2001405890","https://openalex.org/W2382290278","https://openalex.org/W2478288626","https://openalex.org/W4391913857"],"abstract_inverted_index":{"We":[0,17,57,99],"develop":[1],"parallel":[2,122],"algorithms":[3],"for":[4,62,69,121,128],"pricing":[5],"a":[6,13,79,96,118],"class":[7],"of":[8,65,76],"multidimensional":[9],"financial":[10],"derivatives":[11,106,116,134],"employing":[12],"binomial":[14],"lattice":[15,81],"approach.":[16],"describe":[18],"the":[19,32,36,40,63,71,74,85,114,129],"algorithms,":[20],"explain":[21],"their":[22,26],"complexities,":[23],"and":[24,39,67,111],"study":[25],"performance.":[27],"The":[28],"limitations":[29],"posed":[30],"by":[31,46],"problem":[33,45,86,120],"size":[34],"on":[35],"recursive":[37],"algorithm":[38,49,103],"solution":[41],"to":[42,91,104],"overcome":[43],"this":[44],"an":[47],"iterative":[48],"are":[50,139],"explained":[51],"through":[52],"experimental":[53],"results":[54,61],"using":[55,95],"MPI.":[56],"first":[58],"present":[59],"analytical":[60],"number":[64,75],"computations":[66],"communications":[68],"both":[70],"algorithms.":[72],"Since":[73],"nodes":[77],"in":[78,141],"recombining":[80,97],"grows":[82],"linearly":[83],"with":[84,107,135],"size,":[87],"it":[88],"is":[89,125],"feasible":[90],"price":[92],"long-dated":[93,133],"options":[94],"lattice.":[98],"have":[100],"extended":[101],"our":[102],"handle":[105],"many":[108,136],"underlying":[109,137],"assets":[110,138],"shown":[112],"that":[113],"multi-asset":[115],"offer":[117],"better":[119],"computation.":[123],"This":[124],"very":[126],"important":[127],"finance":[130],"industry":[131],"since":[132],"common":[140],"practice.":[142]},"counts_by_year":[{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}