The Parareal Algorithm for American Options

Abstract : This note provides a description of the parareal method, a numerical section to assess the performance of the method for American contracts in the scalar case computed by LSMC and parallelized by parareal time decomposition with two or more levels. It contains also a convergence proof for the two levels pa- rareal Monte-Carlo method when the coarse grid solution is computed by an Euler explicit scheme with time step ∆t > δt, the time step used for the Euler scheme at the fine grid level. Hence the theorem provides a tool to analyze also the multilevel parareal method.
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Submitted on : Monday, May 23, 2016 - 4:40:41 PM
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Gilles Pages, Olivier Pironneau, Guillaume Sall. The Parareal Algorithm for American Options . Comptes Rendus Mathématique, Elsevier Masson, 2016, Série I Mathémtiques, 354 (11), pp.1132-1138. ⟨hal-01320331⟩

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