Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Use of distributed computing in derivative pricing

Use of distributed computing in derivative pricing This paper compares two distributed computing environments when used to price financial contingent claims with Monte Carlo methods: a PC grid and a scientific computing Linux cluster. The paper also investigates the performances for different distributing strategies. On the basis of our experiments, a PC grid can be considered competitive with a scientific computing cluster. Both the cluster and the PC grid achieved nearly linear speed-up. We also find that it is optimal to set the number of jobs to twice the number of cores. Finally, we discuss the use of distributed computing in other fields of electronic finance. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png International Journal of Electronic Finance Inderscience Publishers

Use of distributed computing in derivative pricing

Loading next page...
 
/lp/inderscience-publishers/use-of-distributed-computing-in-derivative-pricing-MQ0NF0Th5D
Publisher
Inderscience Publishers
Copyright
Copyright © Inderscience Enterprises Ltd. All rights reserved
ISSN
1746-0069
eISSN
1746-0077
DOI
10.1504/IJEF.2009.02785
Publisher site
See Article on Publisher Site

Abstract

This paper compares two distributed computing environments when used to price financial contingent claims with Monte Carlo methods: a PC grid and a scientific computing Linux cluster. The paper also investigates the performances for different distributing strategies. On the basis of our experiments, a PC grid can be considered competitive with a scientific computing cluster. Both the cluster and the PC grid achieved nearly linear speed-up. We also find that it is optimal to set the number of jobs to twice the number of cores. Finally, we discuss the use of distributed computing in other fields of electronic finance.

Journal

International Journal of Electronic FinanceInderscience Publishers

Published: Jan 1, 2009

There are no references for this article.