Computing the lower and upper bound prices for multi-asset Bermudan options via parallel Monte Carlo simulations

Zhang, Nan; Man, Ka Lok; Krilavičius, Tomas

doi:10.1007/978-94-017-9588-3_14

Use this url to cite publication: https://hdl.handle.net/20.500.12259/54245

Computing the lower and upper bound prices for multi-asset Bermudan options via parallel Monte Carlo simulations

Type of publication

Knygos dalis / Part of a book (Y)

Author(s)

Author	Affiliation
Zhang, Nan

Title

Computing the lower and upper bound prices for multi-asset Bermudan options via parallel Monte Carlo simulations

[en]

Part Of

Transactions on engineering technologies / editors Gi-Chul Yang, Sio-Iong Ao, Xu Huang, Oscar Castillo

Date Issued

Date
2015

Publisher

Netherlands : Springer Science

Publisher (trusted)

Springer

Is Referenced by

SpringerLink

Extent

p. 181-194

URI

URI
https://link.springer.com/chapter/10.1007%2F978-94-017-9588-3_14
https://hdl.handle.net/20.500.12259/54245

DOI

10.1007/978-94-017-9588-3_14

Field of Science

Keywords (lt)

Keywords (en)

Abstract (en)

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.