并行蒙特卡罗方法的应用  

Application of Parallel Monte Carlo Strategy

作　　者：申杰[1] 王文凡[2] SHEN Jie, WANG Wen-fan （1. College of Mechanics, North China University of Water Conservancy And Electric Power, Zhengzhou 450011, China; 2. Shengda College of Economics ＆ TradeManagement, Zhengzhou University, Zhengzhou 451191, China）

机构地区：[1]华北水利水电学院机械学院,河南郑州450011 [2]郑州大学升达经贸管理学院,河南郑州451191

出　　处：《电脑知识与技术》2009年第8期6296-6297,共2页Computer Knowledge and Technology

摘　　要：该文采用蒙特卡罗方法对欧式期权定价问题进行模拟，并用可移植消息传递标准MPI在分布式存储结构的机群系统上设计并实现了并行算法。该算法有效的解决了金融计算中巨大计算量的问题，在很大程度上提高了计算效率，缩短了计算时间，获得了很好的性能。This article provides Monte Carlo algorithm to estimate the value of European options and the parallel algorithm had been realized on distributed memory cluster of workstation by using portable Message Passing Interface.The parallel algorithm had efficiently sovled the huge computing problems in financial computing,improving the program efficiency and reducing the time on computing ,getting a good performance.

关 键 词：蒙特卡罗方法 欧式期权定价 消息传递 并行计算 

分 类 号：TP301.6[自动化与计算机技术—计算机系统结构;自动化与计算机技术—计算机科学与技术]