Improved Parallel Randomized Quasi Monte Carlo Algorithm of Asian Option Pricing on MIC Architecture

Abstract

High-dimensional Option pricing, which plays an important role in complex financial activities, presents a great computational challenge in practice. Randomized Quasi Monte Carlo (RQMC) algorithm is of practical significance for forecasting option prices or other finance derivatives. In this paper, we present an improved parallel RQMC algorithm to forecast… (More)

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@article{Yao2014ImprovedPR, title={Improved Parallel Randomized Quasi Monte Carlo Algorithm of Asian Option Pricing on MIC Architecture}, author={Peng Hui Yao and Yong Hong Hu and Zhong Hua Lu and Yan Gang Wang and Jue Wang}, journal={2014 13th International Symposium on Distributed Computing and Applications to Business, Engineering and Science}, year={2014}, pages={157-161} }