基于并行蒙特卡罗方法的欧式期权定价  

European Option Pricing Based on Parallel Monte Carlo Strategy

作　　者：王文凡[1] 申杰[2] 

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

出　　处：《华北水利水电学院学报》2010年第2期91-93,共3页North China Institute of Water Conservancy and Hydroelectric Power

摘　　要：为解决蒙特卡罗方法欧式期权定价过程中计算量巨大的问题,提出采用并行蒙特卡罗方法的解决方案.首先用蒙特卡罗方法对欧式认购期权定价过程进行建模,用符合对数正态分布的伪随机数代替随机数;然后采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并行算法.该并行算法缩短了计算时间,效率较高.A Strategy of parallel Monte Carlo was given to deal with the problem of enormous computation in the process of european option pricing used Monte Carlo strategy.Firstly,the process of european option pricing was modelled by Monte Carlo strategy and the quasi-random numbers fitted the lognormal distribution were used instead of random numbers.Secondly,the parallel algorithm was designed and implemented on distributed memory cluster of workstation by portable Message Passing Interface.The parallel algorithm reduced the time in computing and was efficient.

关 键 词：欧式期权定价 蒙特卡罗方法 消息传递接口 并行计算 

分 类 号：O242.3[理学—计算数学] O246[理学—数学]