The parareal algorithm for American options

DOI10.1016/j.crma.2016.09.010zbMath1348.91286OpenAlexW2400928471MaRDI QIDQ338075

Gilles Pagès, Guillaume Sall, Olivier Pironneau

Publication date: 3 November 2016

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2016.09.010

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05)

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Cites Work

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