Large-Scale Parallel Simulation of High-Dimensional American Option Pricing

DOI10.1260/1748-3018.6.1.1zbMath1288.91191OpenAlexW2032032666MaRDI QIDQ5412200

Hong-Xu Chang, Xuebin Chi, Zhonghua Lu

Publication date: 25 April 2014

Published in: Journal of Algorithms & Computational Technology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1260/1748-3018.6.1.1

zbMATH Keywords

option pricingparallel simulationAmerican optionhigh-dimensionallarge-scale

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

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