检索结果-内蒙古大学图书馆

Research on the Construction of Financial Computing Model Based on bsde algorithm

JOURNAL OF INFORMATION & KNOWLEDGE MANAGEMENT 2023年第4期22卷

作者： Cai, Youli Chongqing Creat Vocat Coll Chongqing Dept Econ & Management Chongqing 402160 Peoples R China

Economic and social development has made financial engineering an increasingly important research area, and more and more financial problems cannot be solved directly by analytical formulas. In view of this, algorithms that apply computer technology to financial engineering have emerged. In this study, the Backward Stochastic Differential Equation (bsde) algorithm is used to investigate and analyse the problem of option pricing calculation in finance. In the research process, Gbsde-Theta parallel algorithm composed of bsde-Theta algorithm and GPU algorithm uses the new algorithm to establish a computing model in the financial engineering field, which applies to the calculation of enterprise option pricing. The research results show that compared with the basic algorithm, the actual option values of the option pricing data obtained by using the Gbsde-Theta parallel algorithm are more closely matched. The computational model can achieve a speedup ratio of about 230 times of the serial version with the number of time steps N=128 and the number of simulated paths 80,000. About the relative error of the Gbsde-Theta algorithm, there are 80 points within 3% and only 16 points over 3.00%, which is a relatively small error. The above results show that the financial computing system obtained in this study is highly feasible and effective, and can provide a new research idea for the progress and development of other computations in the financial field.

关键词： bsde algorithm parallel algorithm option pricing financial computing

来源：评论

学校读者我要写书评

暂无评论

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案：

请选择收藏分类：

通借通还

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：