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Mar. 31, 2009 to Apr. 2, 2009
ISBN: 978-0-7695-3507-4
pp: 312-316
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 options. If N time steps and M paths are used, then the storage requirement is . It is undoubtedly enormous for Monte Carlo method which needs to increase the number of simulations to improve the accuracy. In this paper, we propose a memory reduction simulation method to price multi-asset American options and use it in low-discrepancy sequences. For machines with limited memory, we can now use larger values of M and N to improve the accuracy in pricing the options.
Memory reduction; Multi-asset American options; Low-discrepancy sequences
Haijun Yang, Cui Wang, "A Memory Reduction Monte Carlo Simulation for Pricing Multi-assets American Options", CSIE, 2009, Computer Science and Information Engineering, World Congress on, Computer Science and Information Engineering, World Congress on 2009, pp. 312-316, doi:10.1109/CSIE.2009.192
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