Large-scale parallel simulation of high-dimensional American option pricing

DOI10.1260/1748-3018.6.1.1MaRDI QIDQ5412200zbMATH OpenOpenAlexFDO

Authors Hong-Xu Chang, Z. H. Lu, Xuebin Chi

Publication date 25 April 2014

Published in Journal of Algorithms & Computational Technology (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1260/1748-3018.6.1.1

zbMATH Keywords

American optionhigh-dimensionallarge-scaleoption pricingparallel simulation

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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