nested loops parallelization is a frequent problem in finance.
in the following paper some simple solutions have been proposed and implemented in Gauss.
"Going Parallel over the Rainbow"
Some parallel algorithms are proposed to speed up computation of multivariate lattices used to evaluate rainbow options. These novel algorithms have been programmed using
multi-threaded syntax in Gausstm of Aptech honing codes for 32 and 128 cores machines. Actual scaling is linear or superlinear in excess of Amdahl theoretical thresholds. Rainbow
options have been valued with several multivariate lattices models programmed according to our parallelization algorithms providing results not found in extant literature in terms of granularity and convergence.
Other Gauss users' comments will be most welcomed.