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...

We study the approximation problem of Ef(XT) by Ef(XTn), where (Xt) is the solution of a stochastic differential equation, (Xtn) is defined by the Euler discretization scheme with step Tn, and f is a given function. For smooth f's, Talay and Tubaro had shown that the error Ef(XT) − Ef(XTn) can...