Use of distributed computing in derivative pricing

Authors:
Juho Kanniainen;Robert Piche;Tommi Mikkonen
Affiliations:
Department of Industrial Management, Tampere University of Technology, P.O. Box 541, FI-33101 Tampere, Finland.;Department of Mathematics, Tampere University of Technology, P.O. Box 553, FI-33101 Tampere, Finland.;Department of Software Systems, Tampere University of Technology, P.O. Box 553, FI-33101 Tampere, Finland
Venue:
International Journal of Electronic Finance
Year:
2009

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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.