Distributed least-squares Monte Carlo for American option pricing
Year of publication: |
2023
|
---|---|
Authors: | Xiong, Lu ; Luo, Jiyao ; Vise, Hanna ; White, Madison |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 11.2023, 8, Art.-No. 145, p. 1-16
|
Subject: | American option pricing | least squares Monte Carlo (LSMC) | distributed computing | computational complexity | MapReduce | Apache Spar | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Kleinste-Quadrate-Methode | Least squares method | Optionsgeschäft | Option trading |
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