Distributed Least-Squares Monte Carlo for American Option Pricing
Option pricing is an important research field in financial markets, and the American option is a common financial derivative. Fast and accurate pricing solutions are critical to the stability and development of the market. Computational techniques, especially the least squares Monte Carlo (LSMC) met...
Main Authors: | Lu Xiong, Jiyao Luo, Hanna Vise, Madison White |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2023-08-01
|
Series: | Risks |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-9091/11/8/145 |
Similar Items
-
Testing the Least-Squares Monte Carlo Method for the Evaluation of Capital Requirements in Life Insurance
by: Massimo Costabile, et al.
Published: (2020-05-01) -
New distributed-topsis approach for multi-criteria decision-making problems in a big data context
by: Loubna Lamrini, et al.
Published: (2023-06-01) -
Comparative Analysis of Skew-Join Strategies for Large-Scale Datasets with MapReduce and Spark
by: Anh-Cang Phan, et al.
Published: (2022-06-01) -
Quantum advantage of Monte Carlo option pricing
by: Zoltán Udvarnoki, et al.
Published: (2023-01-01) -
Least-Squares Monte Carlo for Proxy Modeling in Life Insurance: Neural Networks
by: Anne-Sophie Krah, et al.
Published: (2020-11-01)