Posted by
Kakhkhor Abdijalilov on
Aug 09, 2010; 10:25am
URL: http://quantlib.414.s1.nabble.com/Kooql-tp7085p7088.html
Dear Mark,
I did some work on parallel implementation of LS. The results will be
made public after the testing is completed (if everything works well,
hopefully).
I just read "GRAPHICAL ASIAN OPTIONS" paper and have several questions.
In section 5 where the numerical results are discussed, 32768 path
were used to price the option at each volatility level and the target
price was computed on CPU using 2^22 path. But how the control variate
was used? Was the Sobol sequence randomized somehow?
It is surprising to see that with only 32768 path QMC results were so
accurate. I was under the impression that QMC looses its efficiency at
higher dimensions. Could it be because Asian payoff becomes less
volatile as the number of averaging dates increases? Also, how CPU
performance was measured? Did it use QuantLib's Asian pricing engine?
Regards,
Kakhkhor Abdijalilov.
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