Advanced Stochastic Approaches Based on Optimization of Lattice Sequences for Large-Scale Finance Problems

• Published in: Large-Scale Scientific Computing Vol. 13127; pp. 257 - 265
• Main Authors: Todorov, Venelin, Dimov, Ivan, Georgieva, Rayna, Apostolov, Stoyan, Poryazov, Stoyan
• Format: Book Chapter
• Language: English
• Published: Switzerland Springer International Publishing AG 2022; Springer International Publishing
• Series: Lecture Notes in Computer Science
• ISBN: 3030975487; 9783030975487
• ISSN: 0302-9743; 1611-3349
• DOI: 10.1007/978-3-030-97549-4_30

In this work we study advanced stochastic methods for solving a specific multidimensional problems related to computation of European style options in computational finance. Recently, stochastic methods have become a very important tool for high-performance computing of very high-dimensional problems in computational finance. Here, a different kind of optimal generating vectors have been applied for the first time to a specific problem in computational finance. Numerical tests show that they give superior results to the stochastic approaches used up to now. The advantages and disadvantages of various highly efficient stochastic approaches for multidimensional integrals related to evaluation of European style options have been analyzed.