An Optimized Stochastic Techniques related to Option Pricing
Venelin Todorov, Ivan Dimov, Stefka Fidanova, Stoyan Apostolov
Citation: Proceedings of the 16th Conference on Computer Science and Intelligence Systems, M. Ganzha, L. Maciaszek, M. Paprzycki, D. Ślęzak (eds). ACSIS, Vol. 25, pages 247–250 (2021)
Abstract. 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.
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