A parallel time stepping approach using mesh-free approximations for pricing options with non-smooth payoffs

Khaliq, AQM, Voss DA, Fasshauer GE.  2008.  

Journal:

Journal of Risk

Volume Number:

10

Pages:

135–142

Abstract:

In this paper we consider a mesh-free radial basis function approach for the valuation of pricing options with non-smooth payouts. By taking advantage of parallel architecture, a strongly stable and highly accurate time-stepping method is developed with computational complexity comparable to the implicit Euler method implemented concurrently on each processor. This, in collusion with the radial basis function approach, provides an efficient and reliable valuation of exotic options, such as American digital options.

Citation:
Khaliq, AQM, Voss DA, Fasshauer GE.  2008.  A parallel time stepping approach using mesh-free approximations for pricing options with non-smooth payoffs. Journal of Risk. 10:135–142.