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

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

Authors: Jenny X. Li, Gary L. Mullen 

Publication date: 4 June 2000

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

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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?)

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