Work

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

Year: 2010

Type: article

Source: Mathematics and Computers in Simulation

DOI: 10.1016/j.matcom.2010.08.005

Authors: Viet_Dung Doan, Abhijeet Gaikwad, Mireille Bossy, Françoise Baude, Ian Stokes-Rees

Institutions: Centre National de la Recherche Scientifique, Institut national de recherche en sciences et technologies du numérique, Centre Inria d'Université Côte d'Azur, Université Nice Sophia Antipolis, Harvard University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Agence Nationale de la Recherche

Award: Grilles de Calcul appliquées à des Problèmes de Mathématiques Finacières

OpenAlex ID: W2057429381

FWCI: 2.303

Cites: 20

Cited by: 13

Related to: 10