Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives

DOI10.1016/S0167-8191(99)00124-6zbMath0939.91054MaRDI QIDQ1978682

Jenny X. Li, Gary L. Mullen

Publication date: 4 June 2000

Published in: Parallel Computing (Search for Journal in Brave)

zbMATH Keywords

option pricingparallel algorithm\((t,s,m)\)-netquasi-Monte Carlo algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (4)

High-performance financial simulation using randomized quasi-Monte Carlo methods ⋮ Parallel option pricing with Fourier space time-stepping method on graphics processing units ⋮ Option pricing, maturity randomization and distributed computing ⋮ Parameterization based on randomized quasi-Monte Carlo methods

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