Please use this identifier to cite or link to this item:https://hdl.handle.net/20.500.12259/54245
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dc.contributor.authorZhang, Nan-
dc.contributor.authorMan, Ka Lok-
dc.contributor.authorKrilavičius, Tomas-
dc.coverage.spatialNL-
dc.date.accessioned2018-10-07T00:07:04Z-
dc.date.available2018-10-07T00:07:04Z-
dc.date.issued2015-
dc.identifier.isbn9789401795876-
dc.identifier.otherVDU02-000018626-
dc.identifier.urihttps://link.springer.com/chapter/10.1007%2F978-94-017-9588-3_14-
dc.descriptionOnline ISBN 978-94-017-9588-3-
dc.description.abstractWe 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 worken
dc.description.sponsorshipBaltijos pažangių technologijų institutas, Vilnius-
dc.description.sponsorshipInformatikos fakultetas-
dc.description.sponsorshipTaikomosios informatikos katedra-
dc.description.sponsorshipVytauto Didžiojo universitetas-
dc.format.extentp. 181-194-
dc.language.isoen-
dc.relation.ispartofTransactions on engineering technologies / editors Yang, G.-C., Ao, S.-I., Huang, X., Castillo, O. Netherlands : Springer Science, 2015-
dc.relation.isreferencedbySpringerLINK-
dc.subjectPalūkanos Bermudų opcionamslt
dc.subjectLIBOR rinkos modelislt
dc.subjectMulti-vertybinis Bermudų opcionaslt
dc.subjectMonte Karlo imitacinis modeliavimaslt
dc.subjectInterest rate Bermudan swaptionen
dc.subjectLIBOR market modelen
dc.subjectMulti-asset Bermudan optionsen
dc.subjectMonte Carlo simulationen
dc.subjectMulti-threaded programmingen
dc.subjectParallel computingen
dc.subject.otherInformatika / Informatics (N009)-
dc.titleComputing the lower and upper bound prices for multi-asset Bermudan options via parallel Monte Carlo simulationsen
dc.typeKnygos dalis / Part of book (Y)-
dc.identifier.doihttps://doi.org/10.1007/978-94-017-9588-3_14-
dcterms.bibliographicCitation17-
dc.date.updated2017-06-27T14:33Z-
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crisitem.author.deptFizikos katedra-
crisitem.author.deptFizikos katedra-
crisitem.author.deptTaikomosios informatikos katedra-
Appears in Collections:Universiteto mokslo publikacijos / University Research Publications
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