Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives

DOI10.1016/S0167-8191(99)00124-6zbMATH Open0939.91054MaRDI QIDQ1978682FDOQ1978682

Gary L. Mullen, Jenny X. Li

Publication date: 4 June 2000

Published in: Parallel Computing (Search for Journal in Brave)

Recommendations

• scientific article; zbMATH DE number 1618022
• On the parallel implementation of quasi-Monte Carlo algorithms
• scientific article; zbMATH DE number 1432342
• Parallel algorithms for financial derivatives evaluation in generalized Heston model
• scientific article; zbMATH DE number 1790449
• Parallel Computing Method of Valuing for Multi-asset European Option
• Parallel random number generators in Monte Carlo derivative pricing: an application-based test
• scientific article; zbMATH DE number 1834569
• scientific article; zbMATH DE number 1163493
• The hybrid Monte Carlo algorithm on parallel computers

zbMATH Keywords

option pricingparallel algorithm\((t,s,m)\)-netquasi-Monte Carlo algorithm

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (7)

• High-performance financial simulation using randomized quasi-Monte Carlo methods
• Parallel option pricing with Fourier space time-stepping method on graphics processing units
• Parallel Computing Method of Valuing for Multi-asset European Option
• Option pricing, maturity randomization and distributed computing
• Parameterization based on randomized quasi-Monte Carlo methods
• High performance computing in quantitative finance: a review from the pseudo-random number generator perspective
• Title not available (Why is that?)

This page was built for publication: Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1978682)