Parallelizing computation of expected values in recombinant binomial trees

DOI10.1080/00949655.2017.1402898MaRDI QIDQ4960568zbMATH OpenOpenAlexFDO

Authors Sai K. Popuri, Andrew M. Raim, Nagaraj Neerchal, Matthias K. Gobbert

Publication date 23 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1701.03512

zbMATH Keywords

Bernoulli pathsbinomial treeMonte Carlo estimationoption pricing

Mathematics Subject Classification ID

Statistics (62-XX)

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• Julia: a fresh approach to numerical computing
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• Vector and parallel methods for the direct solution of Poisson's equation

Describes a project that uses

Uses Software

• R
• Rmpi
• LLVM
• Rcpp
• OpenMPI
• Julia
• MPI.jl
• GitHub

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