System Development & Application
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2081-2086,2092

Parallel computing-based SaaS for option pricing on cloud

Lin Yixing1,2
Zhao Di3
Chi Xuebin1,2,4
Jiang Jinrong1,4
1. Computer Network Information Center, Chinese Academy of Sciences, Beijing 100190, China
2. University of Chinese Academy of Sciences, Beijing 100049, China
3. Institute of Computing Technology, Chinese Academy of Sciences, Beijing 100190, China
4. Center of Scientific Computing Applications & Research, Chinese Academy of Sciences, Beijing 100190, China

Abstract

The computational speed is important for the crucial for option traders to efficiently decide the price and evaluate the corresponding risk, and cloud parallel computing provides a low-cost implementation by providers' pay-as-you-go policy. Based on Microsoft's cloud platform Windows Azure, developed an option pricing's pilot cloud software - AzureOP, this software provided low risk and high speed with a lower cost, and presented simulation results of AzureOP for American Put, plotted the corresponding option pricing curve and pricing surface. Finally, makes conclusions and discusses the advantage and the disadvantage of computational finance on the cloud, and illustrates the details development of pilot cloud software AzureOP.

Foundation Support

国家重点研究发展计划资助项目(2016YFB0201400,2016YFB0200800)
国家自然科学基金重大研究计划资助项目(91530324)
北京市自然科学基金资助项目(4161004)
北京市科技项目(Z161100000216143,Z171100000117001)
中国科学院知识创新项目(XXH13504-03-02)

Publish Information

DOI: 10.19734/j.issn.1001-3695.2018.01.0016
Publish at: Application Research of Computers Printed Article, Vol. 36, 2019 No. 7
Section: System Development & Application
Pages: 2081-2086,2092
Serial Number: 1001-3695(2019)07-036-2081-06

Publish History

[2019-07-05] Printed Article

Cite This Article

林溢星, 赵地, 迟学斌, 等. 基于Windows Azure云并行计算的期权定价SaaS [J]. 计算机应用研究, 2019, 36 (7): 2081-2086,2092. (Lin Yixing, Zhao Di, Chi Xuebin, et al. Parallel computing-based SaaS for option pricing on cloud [J]. Application Research of Computers, 2019, 36 (7): 2081-2086,2092. )

About the Journal

  • Application Research of Computers Monthly Journal
  • Journal ID ISSN 1001-3695
    CN  51-1196/TP

Application Research of Computers, founded in 1984, is an academic journal of computing technology sponsored by Sichuan Institute of Computer Sciences under the Science and Technology Department of Sichuan Province.

Aiming at the urgently needed cutting-edge technology in this discipline, Application Research of Computers reflects the mainstream technology, hot technology and the latest development trend of computer application research at home and abroad in a timely manner. The main contents of the journal include high-level academic papers in this discipline, the latest scientific research results and major application results. The contents of the columns involve new theories of computer discipline, basic computer theory, algorithm theory research, algorithm design and analysis, blockchain technology, system software and software engineering technology, pattern recognition and artificial intelligence, architecture, advanced computing, parallel processing, database technology, computer network and communication technology, information security technology, computer image graphics and its latest hot application technology.

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