Multi-asset American options and parallel quantization

DOI10.1007/S11009-011-9265-4MaRDI QIDQ370907zbMATH OpenOpenAlexFDO

Authors Anne Laure Bronstein, Gilles Pagès, Jacques Portès

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 computingRomberg extrapolationAmerican optionsoptimal quantization

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 467196 (Why is no real title available?)
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• A space quantization method for numerical integration
• A stochastic quantization method for nonlinear problems.
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Asymptotic quantization error of continuous signals and the quantization dimension
• Distortion mismatch in the quantization of probability measures
• Exponential rate of convergence for Lloyd's method I
• Foundations of quantization for probability distributions
• LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
• Optimal Quantization for the Pricing of Swing Options
• 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
• Parabolic ADI Methods for Pricing American Options on Two Stocks
• Pricing American-style securities using simulation
• Valuing American options by simulation: a simple least-squares approach

Cited in

(11)

• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• Dual pricing of American options by Wiener chaos expansion
• Large-scale parallel simulation of high-dimensional American option pricing
• Large-Scale Scientific Computing
• Optimal Delaunay and Voronoi quantization schemes for pricing American style options
• Parallel option price valuations with the explicit finite difference method
• The parareal algorithm for American options
• Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods
• Neural network regression for Bermudan option pricing
• The parareal algorithm for American options

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