"Parallel pricing algorithms for multi-dimensional Bermudan/American ..."

Viet Dung Doan et al. (2010)

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DOI: 10.1016/J.MATCOM.2010.08.005

access: closed

type: Journal Article

metadata version: 2020-03-04

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Viet Dung Doan, Abhijeet Gaikwad, Mireille Bossy, Françoise Baude, Ian Stokes-Rees:
Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods. Math. Comput. Simul. 81(3): 568-577 (2010)

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