Parallelizing Computation of Expected Values in Recombinant Binomial Trees

Recombinant binomial trees are binary trees where each non-leaf node has two child nodes, but adjacent parents share a common child node. Such trees arise in finance when pricing an option. For example, valuation of a European option can be carried out by evaluating the expected value of asset payoffs with respect to random paths in the tree. In many variants of the option valuation problem, a closed form solution cannot be obtained and computational methods are needed. The cost to exactly compu...