NPAC Technical Report SCCS-650
Numerical Pricing of Derivative Claims: Path Integral Monte Carlo Approach
Miloje Makivic
Submitted November 9 1994
Abstract
We propose a path integral Monte Carlo method
for pricing of derivative securities.
Metropolis algorithm is used to sample
probability distribution of histories (paths) of the underlying security. The
advantage of path integral approach is that complete information
about the derivative security, including its parameter sensitivities
is obtained in a single simulation. It is also possible to obtain results
for multiple values of parameters in a single simulation.
The algorithm is efficiently implemented on parallel machines
using High-Performance Fortran.
Keywords: Derivative securities, option pricing, Monte Carlo,
path integrals, data parallel, High-Performance Fortran