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Parallel Computing Method Of Valuing For Multi-Asset European Option

Author

Listed:
  • 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)

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.

Suggested Citation

  • Weimin Zheng & Jiwu Shu & Yonggen Gu & Xiaotie Deng, 2004. "Parallel Computing Method Of Valuing For Multi-Asset European Option," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 575-581.
    • Handle: RePEc:wsi:ijitdm:v:03:y:2004:i:04:n:s0219622004001252
    DOI: 10.1142/S0219622004001252
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    References listed on IDEAS

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    1. A. Papageorgiou & J. F. Traub, 1996. "New Results on Deterministic Pricing of Financial Derivatives," Working Papers 96-06-040, Santa Fe Institute.
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