Parallel Monte Carlo method for pricing Asian options using trapezium scheme (Q3224786)
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scientific article; zbMATH DE number 6020674
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| English | Parallel Monte Carlo method for pricing Asian options using trapezium scheme |
scientific article; zbMATH DE number 6020674 |
Statements
2 April 2012
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pseudo random numbers
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Asian options
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Black-Scholes model
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MC method
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parallel computing
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message passing Interface (MPI)
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0.8969660401344299
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0.7773434519767761
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0.7705129384994507
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