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

Viet Dung DoanAbhijeet GaikwadMireille BossyFrançoise BaudeIan Stokes-Rees
Published in: Math. Comput. Simul. (2010)
Keyphrases
  • evolutionary algorithm
  • monte carlo methods
  • multi dimensional
  • learning algorithm
  • monte carlo
  • neural network
  • image segmentation
  • em algorithm
  • option pricing