Parallel computing method of valuing for multi-asset European option
文献类型：期刊论文
| 作者 | Zheng, WM; Shu, JW |
| 刊名 | INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
 |
| 出版日期 | 2004-12-01 |
| 卷号 | 3期号:4页码:575-581 |
| 关键词 | multi-asset European parallel computing option valuing Monte-Carlo method high dimension problem |
| ISSN号 | 0219-6220 |
| 英文摘要 | A critical problem in finance engineering is to value the option and other derivatives securities correctly. The Monte Carlo method (MC) is an important one in the computation for the valuation of multi-asset European option. But its convergence rate is very slow. So various quasi Monte Carlo methods and the relative parallel computing method are becoming an important approach to the valuing of multi-asset European option. In this paper, we use a number-theoretic method, which is a H-W method, to generate identical distributed point set in order to compute the value of the multi-asset European option. It turns out to be very effective, and the time of computing is greatly shortened. Comparing with other methods, the method computes less points and it is especially suitable for high dimension problem. |
| WOS研究方向 | Computer Science ; Operations Research & Management Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000225842700004 |
| 出版者 | WORLD SCIENTIFIC PUBL CO PTE LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/18598]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Zheng, WM |
| 作者单位 | 1.Tsing Hua Univ, Dept Comp Sci & Technol, Beijing 100084, Peoples R China 2.Acad Sinica, Inst Syst Sci, Beijing 100080, Peoples R China 3.City Univ Hong Kong, Dept Comp Sci, Kowloon, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zheng, WM,Shu, JW. Parallel computing method of valuing for multi-asset European option[J]. INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,2004,3(4):575-581. |
| APA | Zheng, WM,&Shu, JW.(2004).Parallel computing method of valuing for multi-asset European option.INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,3(4),575-581. |
| MLA | Zheng, WM,et al."Parallel computing method of valuing for multi-asset European option".INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING 3.4(2004):575-581. |
入库方式： OAI收割
来源：数学与系统科学研究院
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