摘要
计算速度对于期权交易者至关重要,关系到如何有效地制定价格并评估相应的风险,而云并行计算提供的随收随付制(pay-as-you-go)可以实现低成本运行。在微软云平台Windows Azure的基础上,开发了基于云并行计算的期权定价试点云软件AzureOP,该软件以较低的费用提供了低风险和高速度,并给出了AzureOP对于美式期权价格的模拟结果,绘制了对应的期权价格定价曲线和定价曲面。最后,对云并行计算在金融应用上的优势和不足进行了总结和讨论,同时举例说明了试点云软件AzureOP的具体细节。
The computational speed is important for the crucial for option traders to efficiently decide the price and evaluate the corresponding risk,and cloud parallel computing provides a low-cost implementation by providers' pay-as-you-go policy.Based on Microsoft's cloud platform Windows Azure,developed an option pricing's pilot cloud software-AzureOP,this software provided low risk and high speed with a lower cost,and presented simulation results of AzureOP for American Put,plotted the corresponding option pricing curve and pricing surface. Finally,makes conclusions and discusses the advantage and the disadvantage of computational finance on the cloud,and illustrates the details development of pilot cloud software AzureOP.
引文
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