Structured Product Pricing Simulation Using PC Grid
نویسنده
چکیده
Financial modeling is one application that benefits substantially from Grid's multiprocessing capabilities. Together with the Centre for Financial Engineering, TCG@NUS’s project team worked on identifying suitable applications and enabling them on the TCG@NUS. The first application identified was Structured Product Pricing (SPP) a Monte Carlo-style simulation application which uses the historical performance data of a fixed set of stocks to derive the best option price of structured financial products. Two option prices are produced, based on the American and European models respectively. In enabling the application, the challenge was to maximise the accuracy of the prediction result through higher number of "paths" and "time steps".
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