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

✍ Scribed by Viet_Dung Doan; Abhijeet Gaikwad; Mireille Bossy; Françoise Baude; Ian Stokes-Rees

Publisher: Elsevier Science
Year: 2010
Tongue: English
Weight: 252 KB
Volume: 81
Category: Article
ISSN: 0378-4754
DOI: 10.1016/j.matcom.2010.08.005

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This study proposes a forward Monte Carlo method for the pricing of American options. The main advantage of this method is that it does not use backward induction as required by other methods. Instead, the proposed approach relies on a wise determination about whether a simulated stock price has ent