基于机群的并行Monte Carlo仿真平台用于金融衍生证券定价  

Simulation of Financial Derivatives Pricing Using Parallel Monte Carlo Platform Based on PC Clusters

作　　者：兰蓉[1] 郑守淇[2] 桂小林[2] 

机构地区：[1]西安交通大学经济与金融学院,西安710064 [2]西安交通大学电子与信息学院,西安710049

出　　处：《系统仿真学报》2006年第1期85-87,101,共4页Journal of System Simulation

基　　金：国家863项目(2001AA111081)

摘　　要：给出了利用局域网机群系统建立并行MonteCarlo仿真平台的Java实现。设计了仿真任务分配算法及多线程同步控制机制。验证了伪随机数生成器并行化的有效性。三种股票期权仿真定价模型作为应用实例,在相同机型机群环境中,取得理想加速比和定价结果。A parallel Monte Carlo simulation platform was designed and implemented based on PC clusters using JAVA tecnniques, and the load allocation strategy and multi-thread synchronization control mechanism supporting this platform were introduced. Meanwhile, the availablity of parallel psuedo-random generator was also tested and verified, Finally, simulation experiments were made based on three stock option Monte Carlo prcing models, and the test results are ideal in speedup and pricing.

关 键 词：MONTE Carlo仿真 JAVARMI 多线程 股票期权定价模型 

分 类 号：TP391[自动化与计算机技术—计算机应用技术]