Multi-asset American options and parallel quantization

DOI10.1007/S11009-011-9265-4zbMath1273.91457OpenAlexW2077333964MaRDI QIDQ370907

Anne Laure Bronstein, Jacques Portès, Gilles Pagès

Publication date: 20 September 2013

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-011-9265-4

zbMATH Keywords

parallel computingAmerican optionsRomberg extrapolationoptimal quantization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05)

Related Items (2)

Neural network regression for Bermudan option pricing ⋮ Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering

Cites Work

• Unnamed Item
• Pricing American-style securities using simulation
• A space quantization method for numerical integration
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• Foundations of quantization for probability distributions
• Applications of Malliavin calculus to Monte Carlo methods in finance
• A stochastic quantization method for nonlinear problems
• Exponential rate of convergence for Lloyd's method I
• Optimal Quantization for the Pricing of Swing Options
• Asymptotic quantization error of continuous signals and the quantization dimension
• Optimal quadratic quantization for numerics: the Gaussian case
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Distortion mismatch in the quantization of probability measures
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
• Parabolic ADI Methods for Pricing American Options on Two Stocks
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II

This page was built for publication: Multi-asset American options and parallel quantization