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Using high performance computing and Monte Carlo simulation for pricing american options
High performance computing NVidia CUDA GPGPU finance Monte Carlo American options
2012/6/5
High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options...
American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods
American Options Malliavin Calculus Monte Carlo GPU
2011/7/25
Abstract: This paper is devoted to pricing American options using Monte Carlo and the Malliavin calculus. Unlike the majority of articles related to this topic, in this work we will not use localizati...
Error Estimates for Multinomial Approximations of American Options in Merton's Model
Multinomial Approximations American Options Merton's Model
2010/4/28
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type c...
Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
Black--Scholes American Options
2010/4/28
We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quantities for similar Ame...