Simulation of multi-option pricing on distributed computing

DOI10.3970/CMES.2012.086.093zbMATH Open1356.91099OpenAlexW2243252094MaRDI QIDQ2964658FDOQ2964658

Authors:

Publication date: 27 February 2017

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

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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)

Cited In (2)

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

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