Parameterization based on randomized quasi-Monte Carlo methods

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• 作者：Giray Ö ; kten ; Matthew Willyard
• 关键词：Parameterization ; Randomized quasi-Monte Carlo ; Option pricing
• 刊名：Parallel Computing
• 出版年：2010
• 出版时间：July 2010
• 年：2010
• 卷：36
• 期：7
• 页码：415-422
• 全文大小：313 K

文摘

We present a theoretical framework where any randomized quasi-Monte Carlo method can be viewed and analyzed as a parameterization method for parallel quasi-Monte Carlo. We present deterministic and stochastic error bounds when different processors of the computing environment run at different speeds. We implement two parameterization methods, both based on randomized quasi-Monte Carlo, and apply them to pricing digital options and collateralized mortgage obligations. Numerical results are used to compare the parameterization methods by their parallel performance as well as their Monte Carlo efficiency.