Modern Monte Carlo Methods and GPU Computing

DOI10.1007/978-3-319-61282-9_26zbMath1420.91518OpenAlexW2755486072MaRDI QIDQ4626521

Álvaro Leitao, Cornelis W. Oosterlee

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/27037

zbMATH Keywords

dynamic programmingMonte CarloBermudan options pricingmulti-dimensional stochastic processes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• GPU acceleration of the stochastic grid bundling method for early-exercise options
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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