The parareal algorithm for American options | Zendy

Gilles Pagès | Zendy; Olivier Pironneau | Zendy; Guillaume Sall | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

The parareal algorithm for American options

Author(s) -

Gilles Pagès,

Olivier Pironneau,

Guillaume Sall

Publication year - 2016

Publication title -

comptes rendus mathématique

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.803

H-Index - 68

eISSN - 1778-3569

pISSN - 1631-073X

DOI - 10.1016/j.crma.2016.09.010

Subject(s) - mathematics , monte carlo method , scalar (mathematics) , algorithm , calculus (dental) , humanities , geometry , statistics , medicine , philosophy , dentistry

This note provides a description of the parareal method for American contracts, a numerical section to assess its performance. The scalar case is investigated. Least-Square Monte Carlo (LSMC) and parareal time decomposition with two or more levels are used, leading to an efficient parallel implementation. It contains also a convergence argument for the two-level parareal Monte Carlo method when the time step used for the Euler scheme at each level is appropriate. This argument provides also a tool for analyzing the multilevel case

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research