Multi-asset American options and parallel quantization
DOI10.1007/S11009-011-9265-4zbMATH Open1273.91457OpenAlexW2077333964MaRDI QIDQ370907FDOQ370907
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- Applications of Malliavin calculus to Monte Carlo methods in finance
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- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- Valuing American options by simulation: a simple least-squares approach
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- A space quantization method for numerical integration
- Asymptotic quantization error of continuous signals and the quantization dimension
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- 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
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- Exponential rate of convergence for Lloyd's method I
- Optimal Quantization for the Pricing of Swing Options
- Distortion mismatch in the quantization of probability measures
- LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
- Parabolic ADI Methods for Pricing American Options on Two Stocks
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
- Large-scale parallel simulation of high-dimensional American option pricing
- Dual pricing of American options by Wiener chaos expansion
- 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
- Neural network regression for Bermudan option pricing
- Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods
- The parareal algorithm for American options
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