Parallel computing method of valuing for multi-asset European option

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	Parallel computing method of valuing for multi-asset European option
	Zheng, WM ; Shu, JW
	2004-12-01
发表期刊	INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
ISSN	0219-6220
卷号	3 期号:4 页码:575-581
摘要	A 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.
关键词	multi-asset European parallel computing option valuing Monte-Carlo method high dimension problem
语种	英语
WOS研究方向	Computer Science ; Operations Research & Management Science
WOS类目	Computer Science, Artificial Intelligence ; Computer Science, Information Systems ; Computer Science, Interdisciplinary Applications ; Operations Research & Management Science
WOS记录号	WOS:000225842700004
出版者	WORLD SCIENTIFIC PUBL CO PTE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/18599
专题	中国科学院数学与系统科学研究院
通讯作者	Zheng, WM
作者单位	1.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
推荐引用方式 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.