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CEC
2005
IEEE

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

14 years 6 months ago
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.
Jin Suk Kim, Suk Joon Byun
Added 24 Jun 2010
Updated 24 Jun 2010
Type Conference
Year 2005
Where CEC
Authors Jin Suk Kim, Suk Joon Byun
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