Pricing path-dependent Bermudan options using Wiener chaos expansion : an embarrassingly parallel approach
Jérôme Lelong
| Year of publication: |
2020
|
|---|---|
| Authors: | Lelong, Jérôme |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 24.2020, 2, p. 1-31
|
| Subject: | path-dependent Bermudab options | optimal stopping | regression methods | high-performance computing | Wiener chaos expension | Optionspreistheorie | Option pricing theory | Chaostheorie | Chaos theory | Regressionsanalyse | Regression analysis | Suchtheorie | Search theory | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2020.394 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012543612