Abstract
A parallel Monte Carlo simulation platform was designed and implemented based on PC clusters using JAVA techniques, and the load allocation strategy and multi-thread synchronization control mechanism supporting this platform were introduced. Meanwhile, the availability of parallel psuedo-random generator was also tested and verified. Finally, simulation experiments were made based on three stock option Monte Carlo pricing models, and the test results are ideal in speedup and pricing.
| Original language | English |
|---|---|
| Pages (from-to) | 85-87+101 |
| Journal | Xitong Fangzhen Xuebao / Journal of System Simulation |
| Volume | 18 |
| Issue number | 1 |
| State | Published - Jan 2006 |
Keywords
- JavaRMI
- Monte Carlo simulation
- Multi-threading
- Stock option pricing model