Multi-asset American Options and Parallel Quantization

Anne Laure Bronstein (), Gilles Pagès () and Jacques Portès ()
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Anne Laure Bronstein: Université Pierre et Marie Curie
Gilles Pagès: Université Pierre et Marie Curie
Jacques Portès: Université Pierre et Marie Curie

Methodology and Computing in Applied Probability, 2013, vol. 15, issue 3, 547-561

Abstract: Abstract We present a parallel implementation of the optimal quantization method on a grid computing. Its purpose is to price instantaneously multidimensional American options. Numerical tests are proceeded with variable number of processors, from 4 to 128. Finally a spatial extrapolation of Richardson–Romberg is introduced to speed up the convergence rate and stabilize the results.

Keywords: American options; Optimal quantization; Parallel computing; Romberg extrapolation; 65C50; 65D32; 65Y05; 65B99 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11009-011-9265-4

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