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
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;
Conference_Titel :
Evolutionary Computation, 2005. The 2005 IEEE Congress on
Print_ISBN :
0-7803-9363-5
DOI :
10.1109/CEC.2005.1554805
