Computing the Lower and Upper Bound Prices for Multi-asset Bermudan Options via Parallel Monte Carlo Simulations
2015
We present our work on computing the lower and upper bound prices for multi-asset Bermudan options. For the lower bound price we follow the Longstaff-Schwartz least-square Monte Carlo method. For the upper bound price we follow the Andersen-Broadie duality-based nested simulation procedure. For case studies we computed the prices of Bermudan max-call options and Bermudan interest rate swaptions. The pricing procedures are parallelized through POSIX multi-threading. Times required by the procedures on ×86 multi-core processors are much shortened than those reported in previous work.
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