A highly parallel Black--Scholes solver based on adaptive sparse grids
From MaRDI portal
Publication:4903544
Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Financial applications of other theories (91G80) PDEs in connection with computer science (35Q68)
Recommendations
- On the parallel solution of stochastic parabolic equation
- Parallel algorithm for solving the Black-Scholes equation
- Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation
- Option pricing with a direct adaptive sparse grid approach
- Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU
Cites work
- scientific article; zbMATH DE number 2134189 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 1424514 (Why is no real title available?)
- A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
- A general pricing technique based on theta-calculus and sparse grids
- A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
- A highly accurate adaptive finite difference solver for the Black-Scholes equation
- Adaptive Finite Element Methods for Parabolic Problems II: Optimal Error Estimates in $L_\infty L_2 $ and $L_\infty L_\infty $
- Computational Methods for Option Pricing
- Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
- Far field boundary conditions for Black-Scholes equations
- Finite element solution of diffusion problems with irregular data
- Hierarchical bases give conjugate gradient type methods a multigrid speed of convergence
- Numerical techniques for the valuation of basket options and their Greeks
- On coordinate transformation and grid stretching for sparse grid pricing of basket options
- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
- Pricing American options using a space-time adaptive finite difference method
- Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences
- Quadratic convergence for valuing American options using a penalty method
- Space-time adaptive finite difference method for European multi-asset options
- Sparse grids
- Spatially adaptive sparse grids for high-dimensional data-driven problems
- TVD, WENO and blended BDF discretizations for Asian options
- Tools for computational finance.
Cited in
(12)- A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
- DGM: a deep learning algorithm for solving partial differential equations
- Option pricing with a direct adaptive sparse grid approach
- Performance evaluation of OpenMP-based algorithms for handling Kronecker descriptors
- Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU
- Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation
- scientific article; zbMATH DE number 5174038 (Why is no real title available?)
- A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation
- Parallel algorithm for solving the Black-Scholes equation
- scientific article; zbMATH DE number 2134189 (Why is no real title available?)
- On the parallel solution of stochastic parabolic equation
- Parallel solution of American option derivatives on GPU clusters
This page was built for publication: A highly parallel Black--Scholes solver based on adaptive sparse grids
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4903544)
