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NAA
2000
Springer

Parallel Monte Carlo Methods for Derivative Security Pricing

9 years 3 months ago
Parallel Monte Carlo Methods for Derivative Security Pricing
Abstract. Monte Carlo (MC) methods have proved to be flexible, robust and very useful techniques in computational finance. Several studies have investigated ways to achieve greater efficiency of such methods for serial computers. In this paper, we concentrate on the parallelization potentials of the MC methods. While MC is generally thought to be "embarrassingly parallel", the results eventually depend on the quality of the underlying parallel pseudo-random number generators. There are several methods for obtaining pseudo-random numbers on a parallel computer and we briefly present some alternatives. Then, we turn to an application of security pricing where we empirically investigate the pros and cons of the different generators. This also allows us to assess the potentials of parallel MC in the computational finance framework.
Giorgio Pauletto
Added 25 Aug 2010
Updated 25 Aug 2010
Type Conference
Year 2000
Where NAA
Authors Giorgio Pauletto
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