The parareal algorithm for American options
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Publication:4553797
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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Cites work
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 1069621 (Why is no real title available?)
- scientific article; zbMATH DE number 1827892 (Why is no real title available?)
- 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
- Large-Scale Scientific Computing
- Numerical probability. An introduction with applications to finance
- Parallel solution of American option derivatives on GPU clusters
- The parareal algorithm for American options
- Valuing American options by simulation: a simple least-squares approach
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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