Multi-asset American options and parallel quantization

Anne Laure Bronstein (1) , Gilles Pagès (1) , Jacques Portès (1)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

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.

Mots clés: American options; optimal quantization; Parallel computing; Romberg extrapolation; Romberg extrapolation.

Domaines: Probabilités [math.PR]

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