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International Conference on Parallel Processing and Applied Mathematics

PPAM 2013: Parallel Processing and Applied Mathematics pp 600–612Cite as

Parallel Approach to Monte Carlo Simulation for Option Price Sensitivities Using the Adjoint and Interval Analysis

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Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 8385))

Abstract

This paper concerns a new approach to evaluation of Option Price sensitivities using the Monte Carlo simulation, based on the parallel GPU architecture and Automatic Differentiation methods. In order to study rounding errors, the interval arithmetic is used. Considerations are based on two implementations of the algorithm – the sequential and parallel ones. For efficient differentiation, the Adjoint method is employed. Computational experiments include analysis of performance, uncertainty error and rounding error and consider Black-Scholes and Heston models.

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References

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Author information

Authors and Affiliations

  1. School of Computer Science, University of Manchester, Manchester, UK

    Grzegorz Kozikowski

  2. Institute of Control and Computation Engineering, Warsaw University of Technology, Warsaw, Poland

    Bartłomiej Jacek Kubica

Authors
  1. Grzegorz Kozikowski
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  2. Bartłomiej Jacek Kubica
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Corresponding author

Correspondence to Bartłomiej Jacek Kubica .

Editor information

Editors and Affiliations

  1. Institute of Computer and Information Science, Czestochowa University of Technology, Czestochowa, Poland

    Roman Wyrzykowski

  2. University of Tennessee, Department of Computer Science, Knoxville, Tennessee, USA

    Jack Dongarra

  3. Institute of Computer and Information Science, Czestochowa University of Technology, Czestochowa, Poland

    Konrad Karczewski

  4. Technical University of Denmark Informatics and Mathematical Modelling, Kongens Lyngby, Denmark

    Jerzy Waśniewski

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Cite this paper

Kozikowski, G., Kubica, B.J. (2014). Parallel Approach to Monte Carlo Simulation for Option Price Sensitivities Using the Adjoint and Interval Analysis. In: Wyrzykowski, R., Dongarra, J., Karczewski, K., Waśniewski, J. (eds) Parallel Processing and Applied Mathematics. PPAM 2013. Lecture Notes in Computer Science(), vol 8385. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-55195-6_57

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  • DOI: https://doi.org/10.1007/978-3-642-55195-6_57

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-55194-9

  • Online ISBN: 978-3-642-55195-6

  • eBook Packages: Computer ScienceComputer Science (R0)

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