Related papers: Fast American Option Pricing using Nonlinear Stenc…
We present a methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods. The options that we…
Following the recent great advance of quantum computing technology, there are growing interests in its applications to industries, including finance. In this paper, we focus on derivative pricing based on solving the Black-Scholes partial…
Emerging memory technologies have a significant gap between the cost, both in time and in energy, of writing to memory versus reading from memory. In this paper we present models and algorithms that account for this difference, with a focus…
Binomial tree methods (BTM) and explicit difference schemes (EDS) for the variational inequality model of American options with time dependent coefficients are studied. When volatility is time dependent, it is not reasonable to assume that…
The binary-forking model is a parallel computation model, formally defined by Blelloch et al. very recently, in which a thread can fork a concurrent child thread, recursively and asynchronously. The model incurs a cost of $\Theta(\log n)$…
In this article we propose a novel approach to reduce the computational complexity of various approximation methods for pricing discrete time American options. Given a sequence of continuation values estimates corresponding to different…
This paper addresses an important gap in rigorous numerical treatments for pricing American options under correlated two-asset jump-diffusion models using the viscosity solution framework, with a particular focus on the Merton model. The…
This paper investigates analytic properties of American option prices under the finite moment log-stable (FMLS) model. Under this model the price of American options is characterised by the free boundary problem of a fractional partial…
In this paper, we explore how numerical calculations can be accelerated by implementing several numerical methods of fractional-order systems using parallel computing techniques. We investigate the feasibility of parallel computing…
The Black-Scholes model (sometimes known as the Black-Scholes-Merton model) gives a theoretical estimate for the price of European options. The price evolution under this model is described by the Black-Scholes formula, one of the most…
Deep hedging is a framework for hedging derivatives in the presence of market frictions. In this study, we focus on the problem of hedging a given target option by using multiple options. To extend the deep hedging framework to this…
Good process-to-compute-node mappings can be decisive for well performing HPC applications. A special, important class of process-to-node mapping problems is the problem of mapping processes that communicate in a sparse stencil pattern to…
Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). In this work, the classical problem of pricing European and American financial options, based on the corresponding PDE…
In American options, the early exercise feature allows the option to be exercised at any time prior to expiration. However, this flexibility introduces a challenge: the pricing model must value the option while simultaneously determining an…
Stencil computations consume a major part of runtime in many scientific simulation codes. As prototypes for this class of algorithms we consider the iterative Jacobi and Gauss-Seidel smoothers and aim at highly efficient parallel…
In this Article, a fast numerical numerical algorithm for pricing discrete double barrier option is presented. According to Black-Scholes model, the price of option in each monitoring date can be evaluated by a recursive formula upon the…
In this work, we develop a novel efficient quadrature and sparse grid based polynomial interpolation method to price American options with multiple underlying assets. The approach is based on first formulating the pricing of American…
The time-fractional Black-Scholes equation (TFBSE) is intended to price the options for which the underlying price fluctuates within a correlated fractal transmission system. Although the TFBSE is an influential approach for grasping the…
This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset American options we investigate by ample numerical experiments…
In this work, we propose an algorithm to price American options by directly solving the dual minimization problem introduced by Rogers. Our approach relies on approximating the set of uniformly square integrable martingales by a finite…