A parallel Monte Carlo simulation on cluster systems for financial derivatives pricing

In recent years the complexity of numerical computations in computational financial applications has been increased enormously. Monte Carlo algorithm is one of main tools in computational finance. In this paper, we show a parallel Monte Carlo algorithm for financial derivatives pricing. We show that the parallel Monte Carlo algorithm' has good speed-up feature by extensive experiments.

• Type: Conference
• Year: 2005
• Where: CEC
• Authors: Jin Suk Kim, Suk Joon Byun
• Keywords: Artificial Intelligence, CEC 2005, Computational Financial Applications, Monte Carlo Algorithm, Parallel Monte Carlo