| 基于机群的并行Monte Carl 仿真平台用于金融衍生证券定价 |
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| 引用本文： | 兰蓉,郑守淇,桂小林.基于机群的并行Monte Carl 仿真平台用于金融衍生证券定价[J].系统仿真学报,2006,18(1):85-87. |
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| 作者姓名： | 兰蓉 郑守淇 桂小林 |
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| 作者单位： | 1. 西安交通大学经济与金融学院,西安710064;西安交通大学电子与住处学院,西安710049
2. 西安交通大学电子与住处学院,西安710049 |
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| 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。
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| 关 键 词： | Monte Carlo仿真 多线程 股连票期权定介模型 |
| 文章编号： | 1004-731X(2006)01-0085-03 |
| 修稿时间： | 2004年11月2日 |
Simulation of Financial Derivatives Pricing Using Parallel Monte Carlo Platform Based on PC Clusters |
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| LAN Rong,ZHENG Shou-qi,GUI Xiao-lin.Simulation of Financial Derivatives Pricing Using Parallel Monte Carlo Platform Based on PC Clusters[J].Journal of System Simulation,2006,18(1):85-87. |
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| Authors: | LAN Rong ZHENG Shou-qi GUI Xiao-lin |
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| Abstract: | 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. |
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| Keywords: | JavaRMI |
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