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

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

M. Bossy
F. Baude
V. Doan
Abhijeet Gaikwad
I. Stokes-Rees
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Papers citing "Parallel Pricing Algorithms for Multi--Dimensional Bermudan/American Options using Monte Carlo methods"

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Title
A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options
A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options
C. Labart
J. Lelong
87
8
0
23 Feb 2011