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

Viet Dung Doan 1 Mireille Bossy 1 Françoise Baude 2 Ian Stokes-Rees 2
1 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
2 OASIS - Active objects, semantics, Internet and security
CRISAM - Inria Sophia Antipolis - Méditerranée , Laboratoire I3S - COMRED - COMmunications, Réseaux, systèmes Embarqués et Distribués
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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Conference papers
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Contributor : Mireille Bossy <>
Submitted on : Monday, July 4, 2011 - 10:28:45 AM
Last modification on : Monday, April 8, 2019 - 1:30:04 AM

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  • HAL Id : hal-00605712, version 1

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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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