Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
11012423 | European Journal of Operational Research | 2019 | 14 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Stefania Corsaro, Ioannis Kyriakou, Daniele Marazzina, Zelda Marino,