Parallelization and Vectorization of Simulation Based Option Pricing Methods

机译：基于仿真的期权定价方法的并行化和向量化

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Simulation based pricing methods are used for a broad range of derivative valuation problems for which no closed form solution is known. They are easily adaptable to new products, and they show a superior performance for multidimensional pricing problems compared to other pricing techniques. In this paper we show how pricing methods based on Monte Carlo simulation and the stochastic mesh method of Broadie and Glasserman can be sped up by means of parallelization and vectorization. Computational results are given for multidimensional American and European pricing problems and on two different execution platforms; an MPI based NEC PC cluster and an NEC SX-6i vector computer.

机译：基于仿真的定价方法可用于广泛的衍生品估值问题，而对于这些问题，尚无封闭式解决方案。它们很容易适应新产品，与其他定价技术相比，它们在多维定价问题上显示出卓越的性能。在本文中，我们展示了如何通过并行化和向量化来加快基于Monte Carlo模拟的定价方法以及Broadie和Glasserman的随机网格方法。在两个不同的执行平台上，针对美国和欧洲的多维定价问题给出了计算结果。基于MPI的NEC PC群集和NEC SX-6i向量计算机。

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来源
《International Conference on Computational Science and Its Applications - ICCSA 2003 Pt.3 May 18-21, 2003 Montreal, Canada》|2003年|p.139-147|共9页
会议地点 Montreal(CA);Montreal(CA)
作者
Juergen Schumacher; Uwe Jaekel; Achim Basermann;
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作者单位

Dept. of Computer Science III, University of Bonn, Roemerstrasse 164, D-53117 Bonn, Germany;

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原文格式 PDF
正文语种 eng
中图分类自动化技术、计算机技术;
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Parallelization and Vectorization of Simulation Based Option Pricing Methods

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