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

DOI10.1016/S0167-8191(99)00124-6MaRDI QIDQ1978682zbMATH OpenFDO

Authors Jenny X. Li, Gary L. Mullen

Publication date 4 June 2000

Published in Parallel Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-8191(99)00124-6

zbMATH Keywords

\((t,s,m)\)-netoption pricingparallel algorithmquasi-Monte Carlo algorithm

Mathematics Subject Classification ID

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

Review text

The performance of the standard Monte Carlo method is compared with the performance obtained through the use of \((t,m,s)\)-nets in base \(b\) in the approximation of several high dimensional integral problems in valuing derivatives and other securities. The \((t,m,s)\)-nets are generated by a parallel algorithm, where particular considerations are given to scalability of dynamic adaptive routing and load balancing in the design and implementation of the algorithm. From the numerical evidence it appears that such nets can be powerful tools for valuing such securities.

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(9)

• High performance computing in quantitative finance: a review from the pseudo-random number generator perspective
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• Parallélisation d'une Combinaison des Méthodes de Monte-Carlo et Quasi-Monte-Carlo et Application aux Réseaux de Files d'Attente
• High-performance financial simulation using randomized quasi-Monte Carlo methods
• Parallel option pricing with Fourier space time-stepping method on graphics processing units
• Option pricing, maturity randomization and distributed computing
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