The parareal algorithm for American options
DOI10.1137/17M1138832zbMATH Open1416.91405MaRDI QIDQ4553797FDOQ4553797
Authors: Gilles Pagès, Olivier Pironneau, Guillaume Sall 
Publication date: 31 October 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Recommendations
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Stopping times; optimal stopping problems; gambling theory (60G40)
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- Parallel solution of American option derivatives on GPU clusters
- The parareal algorithm for American options
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- Large-Scale Scientific Computing
- Numerical probability. An introduction with applications to finance
Cited In (5)
- Parallel solution of American option derivatives on GPU clusters
- Asynchronous iterations of parareal algorithm for option pricing models
- Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
- A hybrid parareal Monte Carlo algorithm for parabolic problems
- The parareal algorithm for American options
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