Pricing Asian options by Monte Carlo method under MPI environment

MaRDI QIDQ5192148zbMATH OpenFDO

Authors Hamid Seghiouer, Abdeluaab Lidouh, Fatima Zahra Nqi

Publication date 4 August 2009

Full work available at URL http://www.m-hikari.com/ijma/ijma-password-2008/ijma-password25-28-2008/index.html

zbMATH Keywords

parallel computingAsian optionsmessage passing interface (MPI)Black-Scholes model, Monte Carlo method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60)

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