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

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

Mireille Bossy, Viet Dung Doan, 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 computing; multi-dimensional Bermudan/American option; parallel distributed Monte Carlo methods

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

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