TY - EJOU AU - Lee, J.E. TI - Simulation of Multi-Option Pricing on Distributed Computing T2 - Computer Modeling in Engineering \& Sciences PY - 2012 VL - 86 IS - 2 SN - 1526-1506 AB - 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. KW - option pricing model KW - Black-Scholes equation KW - finite element method KW - distributed computing KW - cluster computer system DO - 10.3970/cmes.2012.086.093