A Parallel Firefly Meta-heuristics Algorithm for Financial Option Pricing

被引：0
|
作者：
Mather, Kevin [1 ]
Thulasiraman, Parimala [1 ]
Thulasiram, Ruppa K. [1 ]
Dash, Sujata [1 ]
机构：
[1] Univ Manitoba, Dept Comp Sci, Winnipeg, MB, Canada
来源：
2017 IEEE SYMPOSIUM SERIES ON COMPUTATIONAL INTELLIGENCE (SSCI) | 2017年
基金：
加拿大自然科学与工程研究理事会;
关键词：
Swarm Intelligence; Firefly Algorithm; Option Pricing; Parallel computing; ANT COLONY OPTIMIZATION; GARCH;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
In this paper we present a design and development of a parallel Firefly meta-heuristic algorithm for option pricing. We study the parallel algorithm for performance both theoretically and experimentally. Our implementation of the algorithm exhibits significant speedup for financial option pricing problem and demonstrates the utility of our parallel algorithm even when the problem size with large number of Fireflies is deployed. We also present a detailed analysis of the theoretical runtime cost of firefly algorithm on both the RAM and P-RAM models of computation. Moreover, we identify certain issues in the algorithm regarding global memory access pattern, which could be studied for further improvement.
引用
收藏
页码：192 / 199
页数：8
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