Parallel simulation of high-dimensional American option pricing based on CPU versus MIC
Author:
Affiliation:
1. School of Statistics; Central University of Finance and Economics; Beijing, 100081 China
2. Supercomputing Center, Computer Network Information Center; Chinese Academy of Sciences; Beijing, 100190 China
Funder
National Natural Science Foundation of China
Publisher
Wiley
Subject
Computational Theory and Mathematics,Computer Networks and Communications,Computer Science Applications,Theoretical Computer Science,Software
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/cpe.3275/fullpdf
Reference18 articles.
1. Valuing American options by simulation: a simple least-square approach;Longstaff;Review of Financial Studies,2004
2. Monte Carlo Methods in Financial Engineering
3. Giles MB Multilevel Monte Carlo for basket options Proceedings of the 2009 Winter Simulation Conference 2009 1283 1290
4. Options: a Monte Carlo approach;Boyle;Journal of Financial Economics,1977
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