DocumentCode
445536
Title
A parallel Monte Carlo simulation on cluster systems for financial derivatives pricing
Author
Kim, Jin Suk ; Byun, Suk Joon
Author_Institution
Sch. of Comput. Sci., Seoul Univ., South Korea
Volume
2
fYear
2005
fDate
2-5 Sept. 2005
Firstpage
1040
Abstract
In recent years, the complexity of numerical computations in computational financial applications has been increased enormously. Monte Carlo algorithm is one of main tools in computational finance. In this paper, we show a parallel Monte Carlo algorithm for financial derivatives pricing. We show that the parallel Monte Carlo algorithm has good speed-up feature by extensive experiments.
Keywords
Monte Carlo methods; computational complexity; parallel algorithms; pricing; cluster system; computational finance; financial derivatives pricing; parallel Monte Carlo simulation; Clustering algorithms; Computational modeling; Computer applications; Concurrent computing; Exchange rates; Finance; Modems; Monte Carlo methods; Pricing; Security;
fLanguage
English
Publisher
ieee
Conference_Titel
Evolutionary Computation, 2005. The 2005 IEEE Congress on
Print_ISBN
0-7803-9363-5
Type
conf
DOI
10.1109/CEC.2005.1554805
Filename
1554805
Link To Document