We consider the one-dimensional nonlinear P.D.E. in the weak sense: When the initial condition is a probability on R, the solution Ut is the distribution of the random variable Xt where (Xt) is a nonlinear stochastic process in the sense of McKean.

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...