{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,3,29]],"date-time":"2022-03-29T06:19:07Z","timestamp":1648534747834},"reference-count":8,"publisher":"World Scientific Pub Co Pte Lt","issue":"04","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Int. J. Info. Tech. Dec. Mak."],"published-print":{"date-parts":[[2004,12]]},"abstract":"<jats:p> A critical problem in finance engineering is to value the option and other derivatives securities correctly. The Monte Carlo method (MC) is an important one in the computation for the valuation of multi-asset European option. But its convergence rate is very slow. So various quasi Monte Carlo methods and the relative parallel computing method are becoming an important approach to the valuing of multi-asset European option. In this paper, we use a number-theoretic method, which is a H\u2013W method, to generate identical distributed point set in order to compute the value of the multi-asset European option. It turns out to be very effective, and the time of computing is greatly shortened. Comparing with other methods, the method computes less points and it is especially suitable for high dimension problem. <\/jats:p>","DOI":"10.1142\/s0219622004001252","type":"journal-article","created":{"date-parts":[[2004,12,3]],"date-time":"2004-12-03T11:55:19Z","timestamp":1102074919000},"page":"575-581","source":"Crossref","is-referenced-by-count":1,"title":["PARALLEL COMPUTING METHOD OF VALUING FOR MULTI-ASSET EUROPEAN OPTION"],"prefix":"10.1142","volume":"03","author":[{"given":"WEIMIN","family":"ZHENG","sequence":"first","affiliation":[{"name":"Department of Computer Science and Technology, Tsinghua University, Beijing 100084, China"}]},{"given":"JIWU","family":"SHU","sequence":"additional","affiliation":[{"name":"Department of Computer Science and Technology, Tsinghua University, Beijing 100084, China"}]},{"given":"YONGGEN","family":"GU","sequence":"additional","affiliation":[{"name":"Institute of Systems Science, Academia Sinica, Beijing, 100080, China"}]},{"given":"XIAOTIE","family":"DENG","sequence":"additional","affiliation":[{"name":"Department of Computer Science, City University of Hong Kong, Kowloon Hong Kong SAR, China"}]}],"member":"219","published-online":{"date-parts":[[2011,11,20]]},"reference":[{"key":"rf1","volume-title":"Mathematical Models of Financial Derivatives","author":"Kwok Y. K.","year":"1998"},{"key":"rf2","first-page":"2149","volume":"25","author":"Stavros A. Z.","journal-title":"Parallel Computing"},{"key":"rf3","first-page":"641","volume":"26","author":"Jenny X. L.","journal-title":"Parallel Computing"},{"key":"rf4","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-1690-2_1"},{"key":"rf5","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-8191(99)00123-4"},{"key":"rf6","doi-asserted-by":"publisher","DOI":"10.1137\/0915077"},{"key":"rf7","volume-title":"Mathematics of Derivatives Securities","author":"Paskov S. H.","year":"1996"},{"key":"rf9","volume-title":"Applications of number-theoretic method in statistics","author":"Fang K. T.","year":"1996"}],"container-title":["International Journal of Information Technology &amp; Decision Making"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.worldscientific.com\/doi\/pdf\/10.1142\/S0219622004001252","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,8,6]],"date-time":"2019-08-06T23:00:25Z","timestamp":1565132425000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.worldscientific.com\/doi\/abs\/10.1142\/S0219622004001252"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2004,12]]},"references-count":8,"journal-issue":{"issue":"04","published-online":{"date-parts":[[2011,11,20]]},"published-print":{"date-parts":[[2004,12]]}},"alternative-id":["10.1142\/S0219622004001252"],"URL":"https:\/\/doi.org\/10.1142\/s0219622004001252","relation":{},"ISSN":["0219-6220","1793-6845"],"issn-type":[{"value":"0219-6220","type":"print"},{"value":"1793-6845","type":"electronic"}],"subject":[],"published":{"date-parts":[[2004,12]]}}}