Monte Carlo simulation for pricing options using PVM on a cluster of PCs


Adrian RabaeaEduard-Marius Craciun


Abstract

carpathian_2001_17_041_048_abstract

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carpathian_2001_17_041_048

Pricing options often requires use of Monte Carlo methods in financial industries. We describe and analyze the performance of a clustez of personal computers dedicated to Monte Carlo simulation on line evaluation of fluancial derivatives. Usually Monte Carlo simulation (MCS) requires too much computer time, This requirement limits most of MCS tehniques to use supercomputers and low cost of PCs, PC clusters are evaluated as a blable low-cost option for scientific computing. The free implementation of PVM is used on fast ethernet based systems. Serial and paraliel simulations are performed.

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Author(s)

Craciun, Eduard-Marius, Rabaea, Adrian