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Simulation of Multi-Option Pricing on Distributed Computing

J.E. Lee1and S.J. Kim2
Interdisciplinary program in computational science & Technology, Seoul National University, Seoul, Korea
Department of Aerospace engineering, Seoul National University, Seoul, Korea. Corresponding Author: J.E. Lee, E-mail: jelee@aeroguy.snu.ac.kr

Computer Modeling in Engineering & Sciences 2012, 86(2), 93-112. https://doi.org/10.3970/cmes.2012.086.093

Abstract

As the option trading nowadays has become popular, it is important to simulate efficiently large amounts of option pricings. The purpose of this paper is to show valuations of large amount of options, using network distribute computing resources. We valuated 108 options simultaneously on the self-made cluster computer system which is very inexpensive, compared to the supercomputer or the GPU adopting system. For the numerical valuations of options, we developed the option pricing software to solve the Black-Scholes partial differential equation by the finite element method. This yielded accurate values of options and the Greeks with reasonable computational times. This was executed on the single node and then extended on the cluster computer system.

Keywords

option pricing model, Black-Scholes equation, finite element method, distributed computing, cluster computer system.

Cite This Article

Lee, J. (2012). Simulation of Multi-Option Pricing on Distributed Computing. CMES-Computer Modeling in Engineering & Sciences, 86(2), 93–112.



This work is licensed under a Creative Commons Attribution 4.0 International License , which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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