Parallel Pricing Algorithms for Multi--Dimensional Bermudan/American Options using Monte Carlo methods

Viet Dung Doan 1 Abhijeet Gaikwad 1 Mireille Bossy 2 Françoise Baude 1 Ian Stokes-Rees 1
1 OASIS - Active objects, semantics, Internet and security
CRISAM - Inria Sophia Antipolis - Méditerranée , Laboratoire I3S - COMRED - COMmunications, Réseaux, systèmes Embarqués et Distribués
2 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
Abstract : 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.
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Submitted on : Tuesday, May 13, 2008 - 2:32:12 PM
Last modification on : Thursday, September 12, 2019 - 1:14:34 AM
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Viet Dung Doan, Abhijeet Gaikwad, Mireille Bossy, Françoise Baude, Ian Stokes-Rees. Parallel Pricing Algorithms for Multi--Dimensional Bermudan/American Options using Monte Carlo methods. Mathematics and Computers in Simulation, Elsevier, 2010, 81 (3), pp.568--577. ⟨10.1016/j.matcom.2010.08.005⟩. ⟨inria-00278514v2⟩

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