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Multi-asset American Options and Parallel Quantization

Author

Listed:
  • Anne Laure Bronstein

    (Université Pierre et Marie Curie)

  • Gilles Pagès

    (Université Pierre et Marie Curie)

  • Jacques Portès

    (Université Pierre et Marie Curie)

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.

Suggested Citation

  • Anne Laure Bronstein & Gilles Pagès & Jacques Portès, 2013. "Multi-asset American Options and Parallel Quantization," Methodology and Computing in Applied Probability, Springer, vol. 15(3), pages 547-561, September.
    • Handle: RePEc:spr:metcap:v:15:y:2013:i:3:d:10.1007_s11009-011-9265-4
    DOI: 10.1007/s11009-011-9265-4
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    References listed on IDEAS

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