Financial Modeling

Abstract

A set of parallel stock option pricing models, including Monte Carlo, two binomial approximation models incorporating stochastic volatility with American call (exercise at any time in contract) and with European call (exercise only at option maturity), are developed on DECmpp-12000, CM2, CM5, NCUBE2, IBM SP1 and networked workstations. These models are compared with conventional Black-Scholes and binomial models assuming constant volatility, using a large set of option market data from CBOE. Numerical optimization techniques are applied to estimate key models parameters such as volatility, variance of volatility, and corelation of price and volatility. An interactive visualization environment of this application is developed on a distributed high performance system in which a graphical user interface in AVS is coupled with the (parallel) pricing models running on multiple parallel machines and workstations.

DateOfInformation

Thr Sep 25 15:59:42 1997

Domain

Scientific and Engineering Applications

Name

Financial Modeling

TargetEnvironment

DECmpp-12000, CM2, CM5, NCUBE2, IBM SP1

Webpage

http://www.npac.syr.edu/users/gcheng/finance/home.html

ContactIs

Kim Mills