PARALLEL COMPUTING METHOD OF VALUING FOR MULTI-ASSET EUROPEAN OPTION

Weimin Zheng (), Jiwu Shu (), Yonggen Gu and Xiaotie Deng ()
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Weimin Zheng: Department of Computer Science and Technology, Tsinghua University, Beijing 100084, China
Jiwu Shu: Department of Computer Science and Technology, Tsinghua University, Beijing 100084, China
Yonggen Gu: Institute of Systems Science, Academia Sinica, Beijing, 100080, China
Xiaotie Deng: Department of Computer Science, City University of Hong Kong, Kowloon Hong Kong SAR, China

International Journal of Information Technology & Decision Making (IJITDM), 2004, vol. 03, issue 04, 575-581

Abstract: 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.

Keywords: Multi-asset European; parallel computing; option valuing; Monte-Carlo method; high dimension problem (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1142/S0219622004001252

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