Large-Scale Scientific Computing

DOI10.1007/11666806MaRDI QIDQ5898231zbMATH OpenOpenAlexFDO

Authors Ioane Muni Toke, Jean-Yves Girard

Publication date 21 November 2006

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

Full work available at URL https://doi.org/10.1007/11666806

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Multi-asset American options and parallel quantization
• Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods
• Monte Carlo methods for pricing and hedging American options in high dimension
• Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
• Large-scale parallel simulation of high-dimensional American option pricing

Cited in

(6)

• Simulation of multi-option pricing on distributed computing
• The parareal algorithm for American options
• The parareal algorithm for American options
• TIME VARYING SENSITIVITIES ON A GRID ARCHITECTURE
• Large-scale parallel simulation of high-dimensional American option pricing
• Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods

This page was built for publication: Large-Scale Scientific Computing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5898231)