Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods

DOI10.1016/j.matcom.2010.08.005zbMath1237.91227arXiv0805.1827OpenAlexW2057429381MaRDI QIDQ622185

Viet Dung Doan, Mireille Bossy, Abhijeet Gaikwad, Françoise Baude, Ian Stokes-Rees

Publication date: 31 January 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.1827

zbMATH Keywords

grid computingmulti-dimensional Bermudan/American optionparallel distributed Monte Carlo methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Dual Pricing of American Options by Wiener Chaos Expansion ⋮ Further properties of random orthogonal matrix simulation

Uses Software

• SSJ

Cites Work

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• An improved simulation method for pricing high-dimensional American derivatives.
• Parameters for Integrating Periodic Functions of Several Variables
• The Valuation of American Options on Multiple Assets
• Optimal quadratic quantization for numerics: the Gaussian case
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing: A simplified approach
• Large-Scale Scientific Computing

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