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Type of publication: Knygos dalis / Part of book (Y)
Field of Science: Informatika / Informatics (N009)
Author(s): Zhang, Nan;Man, Ka Lok;Krilavičius, Tomas
Title: Computing the lower and upper bound prices for multi-asset Bermudan options via parallel Monte Carlo simulations
Is part of: Transactions on engineering technologies / editors Yang, G.-C., Ao, S.-I., Huang, X., Castillo, O. Netherlands : Springer Science, 2015
Extent: p. 181-194
Date: 2015
Note: Online ISBN 978-94-017-9588-3
Keywords: Palūkanos Bermudų opcionams;LIBOR rinkos modelis;Multi-vertybinis Bermudų opcionas;Monte Karlo imitacinis modeliavimas;Interest rate Bermudan swaption;LIBOR market model;Multi-asset Bermudan options;Monte Carlo simulation;Multi-threaded programming;Parallel computing
ISBN: 9789401795876
Abstract: We present our work on computing the lower and upper bound prices for multi-asset Bermudan options. For the lower bound price we follow the Longstaff-Schwartz least-square Monte Carlo method. For the upper bound price we follow the Andersen-Broadie duality-based nested simulation procedure. For case studies we computed the prices of Bermudan max-call options and Bermudan interest rate swaptions. The pricing procedures are parallelized through POSIX multi-threading. Times required by the procedures on x86 multi-core processors are much shortened than those reported in previous work
Affiliation(s): Baltijos pažangių technologijų institutas, Vilnius
Informatikos fakultetas
Taikomosios informatikos katedra
Vytauto Didžiojo universitetas
Appears in Collections:Universiteto mokslo publikacijos / University Research Publications

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