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Comparison of parallel distributed American option pricing: Through Continuation Values Classification Versus Optimal Exercise Boundary Computation

Abstract

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.
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Dates and versions

hal-00605712 , version 1 (04-07-2011)

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  • HAL Id : hal-00605712 , version 1

Cite

Viet Dung Doan, Mireille Bossy, Françoise Baude, Ian Stokes-Rees. Comparison of parallel distributed American option pricing: Through Continuation Values Classification Versus Optimal Exercise Boundary Computation. Sixth IMACS Seminar on Monte Carlo Methods, Jun 2007, Reading, United Kingdom. ⟨hal-00605712⟩
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