The parareal algorithm for American options
DOI10.1016/J.CRMA.2016.09.010zbMATH Open1348.91286OpenAlexW2400928471MaRDI QIDQ338075FDOQ338075
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)
Full work available at URL: https://doi.org/10.1016/j.crma.2016.09.010
Recommendations
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- A theory of the term structure of interest rates
- A ``parareal in time discretization of PDE's
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- 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
- Title not available (Why is that?)
- Parallel solution of American option derivatives on GPU clusters
- Title not available (Why is that?)
- Large-Scale Scientific Computing
Cited In (6)
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
- The Parareal Algorithm for American Options
- Multigrid reduction in time for non-linear hyperbolic equations
- Modified parareal method for solving the two-dimensional nonlinear shallow water equations using finite volumes
- Parallel-in-time simulation of biofluids
- Communication-aware adaptive parareal with application to a nonlinear hyperbolic system of partial differential equations
This page was built for publication: The parareal algorithm for American options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q338075)
