Large-Scale Parallel Simulation of High-Dimensional American Option Pricing
High-dimensional American option pricing is computationally challenging in both theory and practice. We use stochastic mesh method combined with performance enhancement policy of bias reduction to solve this practical problem in classic Black-Scholes framework. We effectively parallelize this algori...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SAGE Publishing
2012-03-01
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| Series: | Journal of Algorithms & Computational Technology |
| Online Access: | https://doi.org/10.1260/1748-3018.6.1.1 |