We develop highly-efficient parallel Partial Differential Equation (PDE) based pricing methods on Graphics Processing Units (GPUs) for multi-asset American options. Our pricing approach is built upon a combination of a discrete penalty approach for the linear complementarity problem arising due...

We study a parallel implementation on a Graphics Processing Unit (GPU) of Alternating Direction Implicit (ADI) time-discretization methods for solving time-dependent parabolic Partial Differential Equations (PDEs) in three spatial dimensions with mixed spatial derivatives in a variety of...

We propose a general framework for efficient pricing via a partial differential equation (PDE) approach for exotic cross-currency interest rate (IR) derivatives, with strong emphasis on long-dated foreign exchange (FX) IR hybrids, namely Power Reverse Dual Currency (PRDC) swaps with a FX Target...

We present a highly efficient parallelization of the computation of the price of exotic cross-currency interest rate derivatives with path-dependent features via a Partial Differential Equation (PDE) approach. In particular, we focus on the parallel pricing on Graphics Processing Unit (GPU)...

We discuss efficient pricing methods via a Partial Differential Equation (PDE) approach for long dated foreign exchange (FX) interest rate hybrids under a three-factor multi-currency pricing model with FX volatility skew. The emphasis of the paper is on Power-Reverse Dual-Currency (PRDC) swaps...

We propose a general framework for efficient pricing via a Partial Differential Equation (PDE) approach of cross-currency interest rate derivatives under the Hull-White model. In particular, we focus on pricing long-dated foreign exchange (FX) interest rate hybrids, namely Power Reverse Dual...

In this paper, we study a partial differential equation (PDE) framework for option pricing where the underlying factors exhibit stochastic correlation, with an emphasis on computation. We derive a multi-dimensional time-dependent PDE for the corresponding pricing problem, and present a numerical...

We develop space-time adaptive and high-order methods for valuing American options using a partial differential equation (PDE) approach. The linear complementarity problemarising due to the free boundary is handled by a penalty method. Both finite difference and finite element methods are...

New methods for solving general linear parabolic partial differential equations (PDEs) in one space dimension are developed. The methods combine quadratic-spline collocation for the space discretization and classical finite differences, such as Crank-Nicolson, for the time discretization. The...

We develop a highly efficient MC method for computing plain vanilla European option prices and hedging parameters under a very general jump-diffusion option pricing model which includes stochastic variance and multi-factor Gaussian interest short rate(s). The focus of our MC approach is variance...