An Optimized Stochastic Techniques related to Option Pricing
- Resource Type
- Conference
- Authors
- Todorov, Venelin; Dimov, Ivan; Fidanova, Stefka; Apostolov, Stoyan
- Source
- 2021 16th Conference on Computer Science and Intelligence Systems (FedCSIS) Computer Science and Intelligence Systems (FedCSIS), 2021 16th Conference on. :247-250 Sep, 2021
- Subject
- Communication, Networking and Broadcast Technologies
Components, Circuits, Devices and Systems
Computing and Processing
Robotics and Control Systems
Signal Processing and Analysis
Computer science
Portable computers
High performance computing
Lattices
Europe
Finance
Pricing
- Language
Recently stochastic methods have become very important tool for high performance computing of very high dimensional problems in computational finance. The advantages and disadvantages of the different highly efficient stochastic methods for multidimensional integrals related to evaluation of European style options will be analyzed. Multidimensional integrals up to 100 dimensions related to European options will be computed with highly efficient optimized lattice rules.