| DC Field | Value | Language |
|---|
| dc.contributor.author | Zhang, Nan | - |
| dc.contributor.author | Man, Ka Lok | - |
| dc.contributor.author | Krilavičius, Tomas | - |
| dc.coverage.spatial | NL | - |
| dc.date.accessioned | 2018-10-07T00:07:04Z | - |
| dc.date.available | 2018-10-07T00:07:04Z | - |
| dc.date.issued | 2015 | - |
| dc.identifier.isbn | 9789401795876 | - |
| dc.identifier.other | VDU02-000018626 | - |
| dc.identifier.uri | https://link.springer.com/chapter/10.1007%2F978-94-017-9588-3_14 | - |
| dc.description | Online ISBN 978-94-017-9588-3 | - |
| dc.description.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 | en |
| dc.description.sponsorship | Baltijos pažangių technologijų institutas, Vilnius | - |
| dc.description.sponsorship | Informatikos fakultetas | - |
| dc.description.sponsorship | Taikomosios informatikos katedra | - |
| dc.description.sponsorship | Vytauto Didžiojo universitetas | - |
| dc.format.extent | p. 181-194 | - |
| dc.language.iso | en | - |
| dc.relation.ispartof | Transactions on engineering technologies / editors Yang, G.-C., Ao, S.-I., Huang, X., Castillo, O. Netherlands : Springer Science, 2015 | - |
| dc.relation.isreferencedby | SpringerLINK | - |
| dc.subject | Palūkanos Bermudų opcionams | lt |
| dc.subject | LIBOR rinkos modelis | lt |
| dc.subject | Multi-vertybinis Bermudų opcionas | lt |
| dc.subject | Monte Karlo imitacinis modeliavimas | lt |
| dc.subject | Interest rate Bermudan swaption | en |
| dc.subject | LIBOR market model | en |
| dc.subject | Multi-asset Bermudan options | en |
| dc.subject | Monte Carlo simulation | en |
| dc.subject | Multi-threaded programming | en |
| dc.subject | Parallel computing | en |
| dc.subject.other | Informatika / Informatics (N009) | - |
| dc.title | Computing the lower and upper bound prices for multi-asset Bermudan options via parallel Monte Carlo simulations | en |
| dc.type | Knygos dalis / Part of book (Y) | - |
| dc.identifier.doi | https://doi.org/10.1007/978-94-017-9588-3_14 | - |
| dcterms.bibliographicCitation | 17 | - |
| dc.date.updated | 2017-06-27T14:33Z | - |
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| local.type | Y | - |
| item.grantfulltext | open | - |
| item.fulltext | With Fulltext | - |
| crisitem.author.dept | Fizikos katedra | - |
| crisitem.author.dept | Fizikos katedra | - |
| crisitem.author.dept | Taikomosios informatikos katedra | - |
| Appears in Collections: | Universiteto mokslo publikacijos / University Research Publications
|
