Parallelizing computation of expected values in recombinant binomial trees

DOI10.1080/00949655.2017.1402898OpenAlexW3101445291MaRDI QIDQ4960568

Andrew M. Raim, Matthias K. Gobbert, Sai K. Popuri, Nagaraj K. Neerchal

Publication date: 23 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.03512

zbMATH Keywords

option pricingbinomial treeMonte Carlo estimationBernoulli paths

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• R
• LLVM
• Rmpi
• Rcpp
• OpenMPI
• Julia
• GitHub
• MPI.jl

Cites Work

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• Vector and parallel methods for the direct solution of Poisson's equation
• Julia: A Fresh Approach to Numerical Computing
• Pattern-Mixture Models for Multivariate Incomplete Data
• Simulation and the Monte Carlo Method
• Tools for computational finance

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