Parallel Monte Carlo Methods for Derivative Security Pricing

Abstract. Monte Carlo (MC) methods have proved to be flexible, robust and very useful techniques in computational finance. Several studies have investigated ways to achieve greater efficiency of such methods for serial computers. In this paper, we concentrate on the parallelization potentials of the MC methods. While MC is generally thought to be "embarrassingly parallel", the results eventually depend on the quality of the underlying parallel pseudo-random number generators. There are several methods for obtaining pseudo-random numbers on a parallel computer and we briefly present some alternatives. Then, we turn to an application of security pricing where we empirically investigate the pros and cons of the different generators. This also allows us to assess the potentials of parallel MC in the computational finance framework.

• Type: Conference
• Year: 2000
• Where: NAA
• Authors: Giorgio Pauletto
• Keywords: Computational Finance, Mathematics, NAA 2000, Parallel Pseudo-random Number, Pseudo-random Numbers