J.E. Lee1and S.J. Kim2
CMES-Computer Modeling in Engineering & Sciences, Vol.86, No.2, pp. 93-112, 2012, DOI: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… More >
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