Parallel Randomized Quasi-Monte Carlo Simulation for Pricing Asian Basket Options

摘要

In practice, no analytical closed form solutions existing can price basket options. In this paper, we present Monte Carlo (MC) simulation on the evaluation of these derivatives. Usually, MC simulation requires too much compute time. This requirement limits most of MC simulation techniques to using supercomputers. By using MPI, our parallel method which combines with the randomized quasi-Monte Carlo technique is implemented on Shenteng 6800 Supercomputer. We perform parallel run time analysis of the proposed method and prove that the parallel approach is scalable.