The Parareal Algorithm for American Options

DOI10.1137/17M1138832zbMath1416.91405MaRDI QIDQ4553797

Gilles Pagès, Guillaume Sall, Olivier Pironneau

Publication date: 31 October 2018

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

zbMATH Keywords

American optionsrisk assessmentpararealLSMCfinancial securities

Mathematics Subject Classification ID

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

Related Items (1)

A hybrid parareal Monte Carlo algorithm for parabolic problems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The parareal algorithm for American options
• An analysis of a least squares regression method for American option pricing
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• Numerical probability. An introduction with applications to finance
• Parallel solution of American option derivatives on GPU clusters
• Résolution d'EDP par un schéma en temps «pararéel »
• Computational Methods for Option Pricing
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Analysis of the Parareal Time‐Parallel Time‐Integration Method
• Large-Scale Scientific Computing

This page was built for publication: The Parareal Algorithm for American Options