Computing, Telecommunication and Control Информатика, телекоммуникации и управление 2687-0517 21 The parallel algorithm of the fair price calculating for the european option Параллельный алгоритм расчета справедливой цены европейского опциона Danilova Natalya danilova198686@mail.ru Shteinberg Boris borsteinb@mail.ru Fomenko Lydmila detush@yandex.ru 10 06 2011 3 126 115 118

The optimization problem connected with the fair price calculating for the European Call option is considered. The parallel algorithm uses the cut of the tree and the independent processing of the subtrees.

 PARALLEL ALGORITHM BINARY TREE FAIR PRICE OPTION GIRSANOV THEOREM