CSpace
Parallel computing method of valuing for multi-asset European option
Zheng, WM; Shu, JW
2004-12-01
Source PublicationINTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
ISSN0219-6220
Volume3Issue:4Pages:575-581
AbstractA critical problem in finance engineering is to value the option and other derivatives securities correctly. The Monte Carlo method (MC) is an important one in the computation for the valuation of multi-asset European option. But its convergence rate is very slow. So various quasi Monte Carlo methods and the relative parallel computing method are becoming an important approach to the valuing of multi-asset European option. In this paper, we use a number-theoretic method, which is a H-W method, to generate identical distributed point set in order to compute the value of the multi-asset European option. It turns out to be very effective, and the time of computing is greatly shortened. Comparing with other methods, the method computes less points and it is especially suitable for high dimension problem.
Keywordmulti-asset European parallel computing option valuing Monte-Carlo method high dimension problem
Language英语
WOS Research AreaComputer Science ; Operations Research & Management Science
WOS SubjectComputer Science, Artificial Intelligence ; Computer Science, Information Systems ; Computer Science, Interdisciplinary Applications ; Operations Research & Management Science
WOS IDWOS:000225842700004
PublisherWORLD SCIENTIFIC PUBL CO PTE LTD
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/18599
Collection中国科学院数学与系统科学研究院
Affiliation1.Tsing Hua Univ, Dept Comp Sci & Technol, Beijing 100084, Peoples R China
2.Acad Sinica, Inst Syst Sci, Beijing 100080, Peoples R China
3.City Univ Hong Kong, Dept Comp Sci, Kowloon, Hong Kong, Peoples R China
Recommended Citation
GB/T 7714
Zheng, WM,Shu, JW. Parallel computing method of valuing for multi-asset European option[J]. INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,2004,3(4):575-581.
APA Zheng, WM,&Shu, JW.(2004).Parallel computing method of valuing for multi-asset European option.INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,3(4),575-581.
MLA Zheng, WM,et al."Parallel computing method of valuing for multi-asset European option".INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING 3.4(2004):575-581.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Zheng, WM]'s Articles
[Shu, JW]'s Articles
Baidu academic
Similar articles in Baidu academic
[Zheng, WM]'s Articles
[Shu, JW]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Zheng, WM]'s Articles
[Shu, JW]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.