Abstract
Problems of modeling and calculations of dynamics of the price of options by Monte Carlo method on parallel processors are considered. Technique of calculation of some factors, enabling to investigate change of the price of options and to evaluate possible consequences of the made bargains is described. Numerical calculations show the speed up in many cases is close to linear function of number of processors.
This work is supported by RFBR projects N96-01-01632, N95-01-00426
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© 1996 Springer-Verlag Berlin Heidelberg
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Artemiev, S.S., Gusev, S.A., Monakhov, O.G. (1996). Use of parallel computations for account of options by Monte Carlo method. In: Waśniewski, J., Dongarra, J., Madsen, K., Olesen, D. (eds) Applied Parallel Computing Industrial Computation and Optimization. PARA 1996. Lecture Notes in Computer Science, vol 1184. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-62095-8_3
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DOI: https://doi.org/10.1007/3-540-62095-8_3
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