Requested White Paper
Financial Applications with ParallelR
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 ParallelR package developed by Revolution Analytics.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.
