| 并行蒙特卡罗方法的应用 |
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| 引用本文： | 申杰,王文凡. 并行蒙特卡罗方法的应用[J]. 数字社区&智能家居, 2009, 0(22) |
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| 作者姓名： | 申杰 王文凡 |
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| 作者单位： | 华北水利水电学院机械学院;郑州大学升达经贸管理学院; |
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| 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。
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| 关 键 词： | 蒙特卡罗方法 欧式期权定价 消息传递 并行计算 |
Application of Parallel Monte Carlo Strategy |
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| SHEN Jie,WANG Wen-fan. Application of Parallel Monte Carlo Strategy[J]. Digital Community & Smart Home, 2009, 0(22) |
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| Authors: | SHEN Jie WANG Wen-fan |
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| Affiliation: | 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 |
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| Abstract: | This article provides Monte Carlo algorithm to estimate the value of European options and the parallel algorithm had been real-ized 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. |
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| Keywords: | monte carlo strategy European options pricing message passing interface parallel computation |
| 本文献已被 CNKI 等数据库收录！ |
