Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods
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Publication:622185
DOI10.1016/j.matcom.2010.08.005zbMath1237.91227arXiv0805.1827MaRDI QIDQ622185
Viet Dung Doan, Mireille Bossy, Abhijeet Gaikwad, Françoise Baude, Ian Stokes-Rees
Publication date: 31 January 2011
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0805.1827
grid computing; multi-dimensional Bermudan/American option; parallel distributed Monte Carlo methods
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Dual Pricing of American Options by Wiener Chaos Expansion, Further properties of random orthogonal matrix simulation
Uses Software
Cites Work
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- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Option pricing: A simplified approach
- Large-Scale Scientific Computing