کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
11012423 1799047 2019 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A general framework for pricing Asian options under stochastic volatility on parallel architectures
ترجمه فارسی عنوان
چارچوب کلی قیمت گذاری گزینه های آسیایی تحت نوسانات تصادفی در معماری های موازی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
چکیده انگلیسی
In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The accuracy is justified both theoretically and experimentally. In addition, to speed up the valuation process, we employ high-performance computing technologies. More specifically, we develop a parallel option pricing system that can be easily reproduced on parallel computers, also realized as a cluster of personal computers. Numerical results showing the accuracy, speed and efficiency of the procedure are reported in the paper.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 272, Issue 3, 1 February 2019, Pages 1082-1095
نویسندگان
, , , ,