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

โœ Scribed by Jenny X. Li; Gary L. Mullen

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
172 KB
Volume
26
Category
Article
ISSN
0167-8191

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โœฆ Synopsis

The performance of the standard Monte Carlo method is compared with the performance obtained through the use of tY mY s-nets in base b in the approximation of several high dimensional integral problems in valuing derivatives and other securities. The tY mY s-nets are generated by a parallel algorithm, where particular considerations are given to scalability of dynamic adaptive routing and load balancing in the design and implementation of the algorithm. From the numerical evidence it appears that such nets can be powerful tools for valuing such securities.

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