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Grid computing 1 Multi-dimensional Bermudan/American option 1 Parallel distributed Monte Carlo methods 1
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Baude, Françoise 1 Bossy, Mireille 1 Doan, Viet_Dung 1 Gaikwad, Abhijeet 1 Stokes-Rees, Ian 1
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Mathematics and Computers in Simulation (MATCOM) 1
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Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods
Doan, Viet_Dung; Gaikwad, Abhijeet; Bossy, Mireille; … - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 3, pp. 568-577
In this paper we present two parallel Monte Carlo based algorithms for pricing multi-dimensional Bermudan/American options. First approach relies on computation of the optimal exercise boundary while the second relies on classification of continuation and exercise values. We also evaluate the...
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