The parareal algorithm for American options

DOI10.1137/17M1138832MaRDI QIDQ4553797zbMATH OpenFDO

Authors Gilles Pagès, Olivier Pironneau, Guillaume Sall

Publication date 31 October 2018

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/17M1138832

zbMATH Keywords

American optionsfinancial securitiesLSMCpararealrisk assessment

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Monte Carlo methods (65C05) Parallel numerical computation (65Y05) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• The parareal algorithm for American options
• Multi-asset American options and parallel quantization
• scientific article; zbMATH DE number 1827892
• Parallel option price valuations with the explicit finite difference method
• scientific article; zbMATH DE number 1432342

Cites work

• 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
• 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?)
• 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

(6)

• Asynchronous iterations of parareal algorithm for option pricing models
• A hybrid parareal Monte Carlo algorithm for parabolic problems
• Parallel solution of American option derivatives on GPU clusters
• The parareal algorithm for American options
• scientific article; zbMATH DE number 1218994 (Why is no real title available?)
• Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk

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 Q4553797)