A Parallel Quasi-Monte Carlo Approach to Pricing American Options.

Justin W. L. Wan Kevin Lai Adam W. Kolkiewicz Ken Seng Tan

Published in: HPCS (2004)

Keyphrases

option pricing
quasi monte carlo
black scholes model
monte carlo
parallel processing
shared memory
variance reduction
double exponential
search algorithm
feature space
np hard
state space
knn
united states