Parallel Computing Method of Valuing for Multi-asset European Option

DOI10.1007/3-540-44862-4_1MaRDI QIDQ3527780zbMATH OpenOpenAlexFDO

Authors Weimin Zheng, Jiwu Shu, Xiatie Deng, Yonggen Gu

Publication date 30 September 2008

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/3-540-44862-4_1

Mathematics Subject Classification ID

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(2)

• Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives
• Good point methods for computing prices and sensitivities of multi-asset European style options

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