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Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk - MaRDI portal

Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk

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Publication:6625108

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DOI10.1080/00207160.2023.2172322MaRDI QIDQ6625108

Álvaro Leitao, Beatriz Salvador, Carlos Vázquez, Iñigo Arregui

Publication date: 28 October 2024

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Parallel numerical computation (65Y05) Numerical solutions to stochastic differential and integral equations (65C30)

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