Parallel Monte Carlo methods for derivative security pricing

DOI10.1007/3-540-45262-1_77MaRDI QIDQ2724558zbMATH OpenFDO

Authors Giorgio Pauletto

Publication date 12 July 2001

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/3-540-45262-1_77

zbMATH Keywords

computational financeMonte Carlo methodsparallel computersecurity pricing

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60)

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• Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives
• Parallel pseudo-random number generators: a derivative pricing perspective with the Heston stochastic volatility model
• Parallel random number generators in Monte Carlo derivative pricing: an application-based test
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• Monte Carlo implementation of financial simulation on Cell/B.E. multi-core processor

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