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...