IJPAM: Volume 5, No. 4 (2003)


F. Perla
Faculty of Economics
University of Naples ``Parthenope"
Via Medina 40, 80133 Naples, ITALY
e-mail: francesca.perla@uninav.it

Abstract.Advances in high performance computing provide new opportunities for implementing computationally intensive financial applications. However, the main critical aspects remain related to the general problem to realize efficient mathematical software in high performance computing environment.

In this paper we present a parallel mathematical software to evaluate Asian options - an important class of financial derivatives - based on Monte Carlo and Quasi Monte Carlo methods. The reason for choosing those methods is that a mathematical model describing the considered Asian options involve multidimensional integrals with a very high dimension.

First results, in terms of accuracy and efficiency obtained testing the developed routine on a cluster of PC connected by a fast network, are also showed.

Received: February 24, 2003

AMS Subject Classification: 90A09, 68N, 65D32

Key Words and Phrases: high performance computing, finance problems, Asian options, multidimensional quadrature

Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2003
Volume: 5
Issue: 4