Fast American Option Pricing using Nonlinear Stencils

Ahmad, Zafar; Browne, Reilly; Chowdhury, Rezaul; Das, Rathish; Huang, Yushen; Zhu, Yimin

doi:10.1145/3627535.3638506

Proceedings of the 29th ACM SIGPLAN Annual Symposium on Principles and Practice of Parallel Programming 2024

DOI: 10.1145/3627535.3638506

|View full text |Cite

Fast American Option Pricing using Nonlinear Stencils

Zafar Ahmad,

Reilly Browne,

Rezaul Chowdhury

et al.

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2024

Publication Types

Select...

Article1

Relationship

Self Cite0

Independent1

Authors

Journals

Cited by 1 publication

References 79 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

The exponential non-uniform bound on the half-normal approximation for the number of returns to the origin

Siripraparat,

Jongpreechaharn

2024

MATH

View full text Add to dashboard Cite

<abstract>This research explored the number of returns to the origin within the framework of a symmetric simple random walk. Our primary objective was to approximate the distribution of return events to the origin by utilizing the half-normal distribution, which is chosen for its appropriateness as a limit distribution for nonnegative values. Employing the Stein's method in conjunction with concentration inequalities, we derived an exponential non-uniform bound for the approximation error. This bound signifies a significant advancement in contrast to existing bounds, encompassing both the uniform bounds proposed by Döbler [<xref ref-type="bibr" rid="b1">1</xref>] and polynomial non-uniform bounds presented by Sama-ae, Chaidee, and Neammanee [<xref ref-type="bibr" rid="b2">2</xref>], and Siripraparat and Neammanee [<xref ref-type="bibr" rid="b3">3</xref>].</abstract>

show abstract

The exponential non-uniform bound on the half-normal approximation for the number of returns to the origin

Siripraparat,

Jongpreechaharn

2024

MATH

View full text Add to dashboard Cite

show abstract

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

hi@scite.ai

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Fast American Option Pricing using Nonlinear Stencils

Cited by 1 publication

References 79 publications

The exponential non-uniform bound on the half-normal approximation for the number of returns to the origin

The exponential non-uniform bound on the half-normal approximation for the number of returns to the origin

Contact Info

Product

Resources

About