Performance analysis of a multithreaded pricing algorithm on Cilk

In this paper, we develop a multithreaded algorithm for pricing simple options and implement it on a 8 node SMP machine using MIT's supercomputer programming language Cilk. The algorithm dynamically creates lots of threads to exploit parallelism and relies on the Cilk runtime system to distribute the computation load. We present both analytical and experimental results and our results explain how Cilk could be used effectively to exploit parallelism in the given problem. The analytical results show that our algorithm has a very high average parallelism and hence Cilk is the target paradigm to implement the algorithm. We conclude from our implementation results that the size of the threads, the number of threads created, the load balancer the cost of spawning a thread are parameters that must be considered while designing the algorithm on the Cilk platform.