Stabilized explicit Runge-Kutta methods for multi-asset American options

In this paper we propose Stabilized Explicit Runge-Kutta (SERK) methods to solve this kind of problems. They can easily be applied to many different classes of problems with large dimensions and they have low memory demand. Since these methods are explicit, they do not require algebra routines to solve large nonlinear systems associated to ODEs (as, for example, LAPACK and BLAS packages or multigrid or iterative methods applied together with Newton-type algorithms) and are especially well-suited for the method of lines (MOL) discretizations of parabolic PDEs.