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Pricing modules can either run in lock-step with the Monte Carlo module which generates histories of risk factors or asynchronously perform valuation functions on the histories which are broadcast as they are generated by the Monte Carlo module
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We are linking this flexible algorithm with a novel scheme based on Maximum Entropy method which generates implied probability distributions from reported option prices.
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The implied distributions can be used within the Path Integral Monte Carlo module to price exotic contracts consistently with exchange-traded contracts and they can also be used to search for arbitrage opportunities
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Estimation of implied distributions requires large scale global optimizers.
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We are developing two parallel stochastic optimizers based on mean field approximation (Laplace formula) and Langevin equation
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