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Method, device and system for option pricing

An option and pricing technology, applied in the field of transaction automation, can solve the problems of slow simulation speed, slow random numbers, and the speed and accuracy of Monte Carlo simulation are not as good as expected, and achieve the effect of fast speed

Inactive Publication Date: 2017-09-15
GUANGDONG UNIV OF TECH
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Problems solved by technology

[0004] However, the current method of calculating random numbers is slow to generate random numbers, which cannot meet the requirements of Monte Carlo simulation, making the accuracy of the simulation results and the real environment poor, and the speed of simulation is limited by the speed of random number generation, and the simulation speed will also increase. drop with it
The speed and accuracy of Monte Carlo simulation are not as good as expected

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  • Method, device and system for option pricing
  • Method, device and system for option pricing
  • Method, device and system for option pricing

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Embodiment Construction

[0049] The core of the application is to provide an option pricing method, which can increase the speed of simulating option pricing; the application also provides an option pricing device and system.

[0050] In order to make the purposes, technical solutions and advantages of the embodiments of the present application clearer, the technical solutions in the embodiments of the present application will be clearly and completely described below in conjunction with the drawings in the embodiments of the present application. Obviously, the described embodiments It is a part of the embodiments of this application, not all of them. Based on the embodiments in this application, all other embodiments obtained by persons of ordinary skill in the art without making creative efforts belong to the scope of protection of this application.

[0051] Please refer to figure 1 , figure 1 It is a flow chart of the option pricing method provided in the embodiment of this application.

[0052]...

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Abstract

The invention discloses a method, a device and a system for option pricing. The method comprises the following steps: setting a serial random number generator to get an original random number sequence according to the characteristics of option change; segmenting the original random number sequence into a predetermined number of sub-sequences of predetermined length; setting a thread for each sub-sequence, sending the sub-sequences to a coprocessor for parallel processing to get uniformly distributed random numbers; carrying out distribution transformation processing on the uniformly distributed random numbers to get normally distributed random numbers; and carrying out Monte Carlo simulation based on the normally distributed random numbers to get the option price. According to the method, random numbers are generated by a random number generator in accordance with the law of option change, and the random numbers are parallelized. A processing module can receive random numbers more quickly. The simulation speed is increased. Moreover, samples in accordance with option change are obtained, and the option price is calculated out. The method has high processing speed. The efficiency is improved by making full use of hardware resources. Moreover, the simulation result is of high precision.

Description

technical field [0001] The present application relates to the field of transaction automation, in particular to an option pricing method, device and system. Background technique [0002] With the continuous development and popularization of financial knowledge and financial products, many derivative financial instruments have been developed. One of them is option. As a derivative financial instrument, option means that the buyer has the right to buy or sell a certain amount of a specific commodity to the seller at a predetermined price within a certain period of time in the future or on a certain date in the future. Therefore, it is particularly important to specify a good price in the option trading process. At present, there are many ways to realize option pricing, such as numerical method, binomial tree pricing method, and Monte Carlo pricing method. Due to the increasing dimensionality of the problem being dealt with, the traditional numerical method is not applicable,...

Claims

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Application Information

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IPC IPC(8): G06Q30/02G06Q40/04
CPCG06Q30/0283G06Q40/04
Inventor 王卓薇邱安波
Owner GUANGDONG UNIV OF TECH
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