NHSE Software Catalog

Financial Modeling

description

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

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.

contact

Kim Mills | kim@npac.syr.edu | 315-443-4686
Gang Cheng | gcheng@npac.syr.edu | 315-443-2083

keywords

application program; financial modeling; machine cluster;
optimization