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[02701] Pricing Multi-Asset American Options in Dynamic Programming with Sparse Grids

  • Session Time & Room : 4C (Aug.24, 13:20-15:00) @E507
  • Type : Contributed Talk
  • Abstract : We introduce a sparse grid interpolation and quadrature scheme for pricing multi-asset American option based on dynamic programming. At each time step, we take advantage of the smoothness of the continuation value function, allowing for fast convergence of interpolation. In the multi-dimensional spatial domain, conditional expectations are estimated by sparse grid quadrature or QMC, depending on the asset models. Our algorithm is proven to have accurate error estimates, and numerical experiments demonstrate its efficiency.
  • Classification : 65D40, 65Kxx
  • Format : Talk at Waseda University
  • Author(s) :
    • Jiefei Yang (The University of Hong Kong)
    • Guanglian Li (The University of Hong Kong)