The parareal algorithm for American options

DOI10.1016/J.CRMA.2016.09.010MaRDI QIDQ338075zbMATH OpenOpenAlexFDO

Authors Gilles Pagès, Olivier Pironneau, Guillaume Sall

Publication date 3 November 2016

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.crma.2016.09.010

Mathematics Subject Classification ID

Monte Carlo methods (65C05) 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 1069621 (Why is no real title available?)
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• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• A theory of the term structure of interest rates
• An analysis of a least squares regression method for American option pricing
• Analysis of the Parareal Time‐Parallel Time‐Integration Method
• Computational Methods for Option Pricing
• Large-Scale Scientific Computing
• Parallel solution of American option derivatives on GPU clusters

Cited in

(7)

• Communication-aware adaptive parareal with application to a nonlinear hyperbolic system of partial differential equations
• Asynchronous iterations of parareal algorithm for option pricing models
• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
• The parareal algorithm for American options
• Modified parareal method for solving the two-dimensional nonlinear shallow water equations using finite volumes
• Parallel-in-time simulation of biofluids
• Multigrid reduction in time for non-linear hyperbolic equations

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