Financial Applications with Parallel R
Journal Of Investment Management (JOIM), Fourth Quarter 2009
Posted: 19 Jan 2010 Last revised: 3 Jun 2010
Date Written: January 19, 2010
Abstract
The use of statistical packages in finance has two functions. One, econometric analysis of large volumes of data, and two, programming financial models. A popular package for these purposes is R. In this article we will examine two canonical applications of parallel programming for option pricing.We use the Parallel R package developed by Revolution Computing. We price options using trees and Monte Carlo simulation. Both these approaches are commonly used for option pricing and are amenable to parallelization and grid computing. In this paper we demonstrate the application using the widely used mathematical/statistical R package.
Keywords: R, parallel computing
JEL Classification: G00
Suggested Citation: Suggested Citation