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Experiments with Parallel Monte Carlo Simulation for Pricing Options Using PVM

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Recent Advances in Parallel Virtual Machine and Message Passing Interface (EuroPVM/MPI 2000)

Part of the book series: Lecture Notes in Computer Science ((LNCS,volume 1908))

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Abstract

Pricing options often requires use of Monte Carlo methods in financial industries. We describe and analyze the performance of a cluster of personal computers dedicated to Monte Carlo simulation on the evaluation of financial derivatives. Usually, Monte Carlo simulation (MCS) requires too much computer time. This requirement limits most of MCS techniques to use supercomputers, available only at supercomputer centers. With the rapid development and low cost of PCs, PC clusters are evaluated as a viable low-cost option for scientific computing. The free implementation of PVM is used on fast ethernet based systems. Serial and parallel simulations are performed.

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References

  1. Beguelin, A., et al: A Users’ Guide to PVM Parallel Virtual Machine, Oak Ridge National Laboratory, U.S. Department of Energy Contract, DE-AC-05-84OR21400.

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Author information

Authors and Affiliations

  1. Department of Computer Science and Numerical Methods, ”Ovidius” University of Constantza, Blvd. Mamaia 124, 8700, Constantza, Romania

    Adrian Rabaea & Monica Rabaea

Authors
  1. Adrian Rabaea
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  2. Monica Rabaea
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Editor information

Editors and Affiliations

  1. Innovative Computing Lab., University of Tennessee, 104 Yres Hall, Knoxville, TN, 37996, USA

    Jack Dongarra

  2. MTA SZTAKI Computer and Automation Research Institute, P.O. Box 63, Budapest, 1518, Hungary

    Peter Kacsuk  & Norbert Podhorszki  & 

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© 2000 Springer-Verlag Berlin Heidelberg

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Rabaea, A., Rabaea, M. (2000). Experiments with Parallel Monte Carlo Simulation for Pricing Options Using PVM. In: Dongarra, J., Kacsuk, P., Podhorszki, N. (eds) Recent Advances in Parallel Virtual Machine and Message Passing Interface. EuroPVM/MPI 2000. Lecture Notes in Computer Science, vol 1908. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-45255-9_45

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  • DOI: https://doi.org/10.1007/3-540-45255-9_45

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-41010-2

  • Online ISBN: 978-3-540-45255-3

  • eBook Packages: Springer Book Archive

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