Experiments with Parallel Monte Carlo Simulation for Pricing Options Using PVM.

Adrian Rabaea Monica Rabaea

Published in: PVM/MPI (2000)

Keyphrases

monte carlo simulation
monte carlo
option pricing
markov chain
black scholes model
parallel implementation
dynamic pricing
additive model
double exponential
stock price
parallel processing
shared memory
distributed memory
mechanism design
parallel computation
parallel algorithm
machine learning