Numerical Recipes in C: The Art of Scientific Computing
Numerical Recipes in C: The Art of Scientific Computing
PVM on Windows and NT Clusters
Proceedings of the 5th European PVM/MPI Users' Group Meeting on Recent Advances in Parallel Virtual Machine and Message Passing Interface
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Pricing options often requires use of Monte Carlo methods in financial industries. We describe and analyze the performance of a cluster of personal computers dedicated to Monte Carlo simulation on the evaluation of financial derivatives. Usually, Monte Carlo simulation (MCS) requires too much computer time. This requirement limits most of MCS techniques to use supercomputers, available only at supercomputer centers. With the rapid development and low cost of PCs, PC clusters are evaluated as a viable low-cost option for scientific computing. The free implementation of PVM is used on fast ethernet based systems. Serial and parallel simulations are performed.