European Option Pricing Based on Parallel Monte Carlo Strategy
Jie Shen · Journal of North China Institute of Water Conservancy and Hydroelectric Power · 2010
A Strategy of parallel Monte Carlo was given to deal with the problem of enormous computation in the process of european option pricing used Monte Carlo strategy.Firstly,the process of european option pricing was modelled by Monte Carlo strategy and the quasi-random numbers fitted the lognormal distribution were used instead of random numbers.Secondly,the parallel algorithm was designed and implemented on distributed memory cluster of workstation by portable Message Passing Interface.The parallel algorithm reduced the time in computing and was efficient.