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A parallel quasi-Monte Carlo approach to pricing multidimensional American options.

Justin W. L. WanKevin LaiAdam W. KolkiewiczKen Seng Tan
Published in: Int. J. High Perform. Comput. Netw. (2006)
Keyphrases
  • option pricing
  • quasi monte carlo
  • black scholes model
  • united states
  • parallel processing
  • double exponential
  • multi dimensional
  • monte carlo
  • variance reduction
  • machine learning
  • particle filter
  • error rate