IEEE - Institute of Electrical and Electronics Engineers, Inc. - A Memory Reduction Monte Carlo Simulation for Pricing Multi-assets American Options

2009 WRI World Congress on Computer Science and Information Engineering, CSIE

Author(s): Haijun Yang ; Cui Wang
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 March 2009
Conference Location: Los Angeles, California USA, USA
Conference Date: 31 March 2009
Volume: 2
Page(s): 312 - 316
ISBN (Paper): 978-0-7695-3507-4
DOI: 10.1109/CSIE.2009.192
Regular:

When pricing American options on multi-assets (d) by Monte Carlo methods, one usually stores the simulated asset prices at all time steps on all paths in order to determine when to exercise the... View More

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