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Journal Articles Mathematics and Computers in Simulation Year : 2010

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

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Mireille Bossy

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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Dates and versions

inria-00278514 , version 1 (13-05-2008)
inria-00278514 , version 2 (13-05-2008)

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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, 2010, 81 (3), pp.568--577. ⟨10.1016/j.matcom.2010.08.005⟩. ⟨inria-00278514v2⟩
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