Parallel Randomized Quasi-Monte Carlo Simulation for Asian Basket Option Pricing

Autor:	Yong-Hong Hu, Da-Qian Chen
Jazyk:	angličtina
Rok vydání:	2012
Předmět:	Applied mathematics. Quantitative methods T57-57.97 Mathematics QA1-939
Zdroj:	Journal of Algorithms & Computational Technology, Vol 6 (2012)
Druh dokumentu:	article
ISSN:	1748-3018 1748-3026
DOI:	10.1260/1748-3018.6.1.101
Popis:	High-dimensional derivatives pricing, such as Asian basket options, poses great computational challenges in practice. In this paper, parallel Randomized Quasi-Monte Carlo (RQMC) simulation method is investigated to tackle this kind of intractable problems. By using the intrinsic nature of “embarrassingly parallel”, parallel RQMC algorithm for Asian basket option pricing is effectively implemented using MPI. Numerical experiments are performed on supercomputer DeepComp6800 and the parallel performance is then analyzed. Our parallel algorithm has exerted perfect performance and good scalability. Parallel computing has greatly improved the computational efficiency of derivatives pricing.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/67383d5a0028468788453b7ba7be1bea Zobrazit plný text záznamu View record in DOAJ