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Preprints, Working Papers, ... Year : 2008

Multi-asset American options and parallel quantization

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.
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Dates and versions

hal-00320199 , version 1 (10-09-2008)

Identifiers

  • HAL Id : hal-00320199 , version 1

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Anne Laure Bronstein, Gilles Pagès, Jacques Portès. Multi-asset American options and parallel quantization. 2008. ⟨hal-00320199⟩
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