In the Black-Scholes-Merton model, as well as in more general stochastic models in finance, the price of an American option solves a parabolic variational inequality. When the variational inequality is discretized, one obtains a linear complementarity problem that must be solved at each time...

We implement a dynamic programming algorithm on a computational grid consisting of loosely coupled processors, possibly including clusters and individual workstations. The grid changes dynamically during the computation, as processors enter and leave the pool of workstations. The algorithm is...