Simulation of multi-option pricing on distributed computing

DOI10.3970/CMES.2012.086.093MaRDI QIDQ2964658zbMATH OpenOpenAlexFDO

Authors

Publication date 27 February 2017

Full work available at URL http://www.techscience.com/doi/10.3970/cmes.2012.086.093.html

zbMATH Keywords

distributed computingfinite element methodBlack-Scholes equationoption pricing modelcluster computer system

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Recommendations

• Option pricing, maturity randomization and distributed computing
• scientific article; zbMATH DE number 1432342
• Parallel option price valuations with the explicit finite difference method
• Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods
• Large-Scale Scientific Computing

Cited in

(2)

• A software architecture framework for on-line option pricing
• Option pricing, maturity randomization and distributed computing

This page was built for publication: Simulation of multi-option pricing on distributed computing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2964658)