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.
Monte Carlo simulation for pricing options using PVM on a cluster of PCs
Adrian Rabaea ♦ Eduard-Marius Craciun
Abstract
carpathian_2001_17_041_048_abstractFull PDF
carpathian_2001_17_041_048
Issue no: Vol 17/2001
Tags: Monte Carlo simulation, Parailel computing
Additional Information
Author(s) | Craciun, Eduard-Marius, Rabaea, Adrian |
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Authors
Abbas, Mujahid
Acu, Dumitru
Agratini, Octavian
Balaj, Mircea
Berinde, Mădălina
Berinde, Vasile
Bărbosu, Dan
Chidume, C. E.
Cho, Yeol Je
Choban, Mitrofan M.
Coroian, Iulian
Cosma, Ovidiu
Cristescu, Gabriela
Diudea, Mircea V.
Fukhar-ud-din, Hafiz
Gaidici, A.
Horvat-Marc, Andrei
Ioanoviciu, Aurel
Khan, Abdul Rahim
Kozma, Lidia Elena
Kumam, Poom
Lungu, Nicolaie
Marin, Marin
Megan, Mihail
Mortici, Cristinel
Mureșan, Anton S.
Mureșan, Viorica
Pişcoran, Laurian-Ioan
Pop, Adina
Pop, Maria Sânziana
Pop, Nicolae
Pop, Ovidiu T.
Pop, Petrică Claudiu
Pop, Vasile
Popa, Dorian
Popa, Valeriu
Pop Sitar, Corina
Păcurar, Mădălina
Păvăloiu, Ion
Rus, Ioan A.
Rusu, Cristian
Sass, Istvan Huba Attila
Suantai, Suthep
Tașcu, Ioana
Zelina, Ioana
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