Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods

被引：4
|
作者：
Doan, Viet Dung [1 ]
Gaikwad, Abhijeet [1 ]
Bossy, Mireille [1 ]
Baude, Francoise [1 ]
Stokes-Rees, Ian [2 ]
机构：
[1] Univ Nice Sophia Antipolis, I3S CNRS, INRIA Sophia Antipolis Mediterranee, F-06902 Sophia Antipolis, France
[2] Harvard Univ, Sch Med, Dept Biol Chem & Mol Pharmacol, SGM 105, Boston, MA 02115 USA
来源：
MATHEMATICS AND COMPUTERS IN SIMULATION | 2010年 / 81卷 / 03期
关键词：
Multi-dimensional Bermudan/American option; Parallel distributed Monte Carlo methods; Grid computing;
D O I：
10.1016/j.matcom.2010.08.005
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
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 performance of both the algorithms in a desktop grid environment. We show the effectiveness of the proposed approaches in a heterogeneous computing environment, and identify scalability constraints due to the algorithmic structure. (C) 2010 IMACS. Published by Elsevier B.V. All rights reserved.
引用
收藏
页码：568 / 577
页数：10
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