American Options Pricing on Multi-core Graphic Cards

2009 ◽  
Author(s):  
L. A. Abbas-Turki ◽  
B. Lapeyre
Keyword(s):  
American Options ◽  
Options Pricing ◽  
Core Graphic

A Forward Monte Carlo Method for American Options Pricing

2012 ◽  
Vol 33 (4) ◽  
pp. 369-395 ◽  
Author(s):  
Daniel Wei-Chung Miao ◽  
Yung-Hsin Lee
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
American Options ◽  
Options Pricing

scholarly journals On the solution of complementarity problems arising in American options pricing

2011 ◽  
Vol 26 (4-5) ◽  
pp. 813-825 ◽  
Author(s):  
Liming Feng ◽  
Vadim Linetsky ◽  
José Luis Morales ◽  
Jorge Nocedal
Keyword(s):  
Complementarity Problems ◽  
American Options ◽  
Options Pricing

An Algorithm for Linear Complementarity and its Application in American Options Pricing

2009 ◽  
Author(s):  
Liming Feng ◽  
Vadim Linetsky ◽  
José Luis Morales ◽  
Jorge Nocedal ◽  
Theodore E. Simos ◽  
...  
Keyword(s):  
American Options ◽  
Linear Complementarity ◽  
Options Pricing

scholarly journals American Options. Pricing and volatily calibration.

2006 ◽  
Author(s):  
Yves Achdou ◽  
Olivier Pironneau
Keyword(s):  
American Options ◽  
Options Pricing

Exotic and American Options Pricing Theory

2013 ◽  
pp. 145-176
Author(s):  
Jacques Janssen ◽  
Oronzio Manca ◽  
Raimondo Manca
Keyword(s):  
American Options ◽  
Options Pricing ◽  
Pricing Theory
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