Parallel computing method of valuing for multi-asset European option

  • Authors:

  • Weimin Zheng;Jiwu Shu;Xiatie Deng;Yonggen Gu

  • Affiliations:

  • Department of Computer Science and Technology, Tsinghua University., Beijing, China;Department of Computer Science and Technology, Tsinghua University., Beijing, China;Department of Computer Science, City University of Hong Kong, Hong Kong SAR, China;Institute of Systems Science Academia Sinica, Beijing, China

  • Venue:
  • ICCS'03 Proceedings of the 2003 international conference on Computational science: PartII
  • Year:
  • 2003

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Abstract

A critical problem in Finance Engineering is to value the option and other derivatives securities correctly. The Monte Carlo method (MC) is an important one in the computation for the valuation of multiasset European option. But its convergence rate is very slow. So various quasi Monte Carlo methods and there relative parallel computing method are becoming an important approach to the valuing of multi-asset European option. In this paper, we use a number-theoretic method, which is a H-W method, to generate identical distributed point set in order to compute the value of the multi-asset European option. It turns out to be very effective, and the time of computing is greatly shortened. Comparing with other methods, the method computes less points and it is especially suitable for high dimension problem.