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Pricing derivatives on graphics processing units using Monte Carlo simulation

  • Published:2012-05-25 Issue:9 Volume:26 Page:1679-1697
  • ISSN:1532-0626
  • Container-title:Concurrency and Computation: Practice and Experience
  • language:en
  • Short-container-title:Concurrency Computat.: Pract. Exper.

Author:

Abbas-Turki L.A.1,Vialle S.23,Lapeyre B.4,Mercier P.2

Affiliation:

1. Université Paris-Est; Laboratoire d'Analyse et de Mathématiques Appliquées; 77454 Marne-la-Vallée Cedex2 France

2. SUPELEC - IMS group; 2 rue Edouard Belin, 57070 Metz France

3. AlGorille Project Team; INRIA; Vandoeuvre-les-Nancy France

4. Université Paris-Est; CERMICS, Projet MathFi, ENPC-INRIA-UMLV; 77455 Marne La Vallée Cedex 2 France

Publisher

Wiley

Subject

Computational Theory and Mathematics,Computer Networks and Communications,Computer Science Applications,Theoretical Computer Science,Software

Reference25 articles.

1. Monte Carlo Methods in Financial Engineering

2. Probability with Martingales

3. An analysis of a least squares regression algorithm for american option pricing;Clément;Finance and Stochastics,2002

4. Regression methods for pricing complex American-style options;Tsitsiklis;IEEE Transactions on Neural Networks,2001

5. Valuing American options by simulation: A simple least-squares approach;Longstaff;The Review of Financial Studies,2001

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