Comparison of parallel distributed American option pricing: Through Continuation Values Classification Versus Optimal Exercise Boundary Computation
Résumé
This paper aims to provide an overview and a comparison performance of parallel and distributed Bermudian-American option pricing. We use two Monte Carlo methods to address this pricing in the case of an increasing number of assets (highdimension). Our work is based on a grid software architecture offering fault tolerance, dynamic and agressive load balancing with Java technology. This client - server architecture and the distributed pricing algorithms have been designed to run in a real financial market environment.