Multi-asset American Options and Parallel Quantization

作者：Bronstein Anne Laure^*; Pages Gilles; Portes Jacques

来源：Methodology and Computing in Applied Probability, 2013, 15(3): 547-561.

DOI：10.1007/s11009-011-9265-4

• American options
• Optimal quantization
• Parallel computing
• Romberg extrapolation

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.

• 出版日期2013-9