City Research Online

A general framework for pricing Asian options under stochastic volatility on parallel architectures

Corsaro, S., Kyriakou, I. ORCID: 0000-0001-9592-596X, Marazzina, D. & Marino, Z. (2019). A general framework for pricing Asian options under stochastic volatility on parallel architectures. European Journal of Operational Research, 272(3), pp. 1082-1095. doi: 10.1016/j.ejor.2018.07.017


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.

Publication Type: Article
Additional Information: © 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license
Publisher Keywords: Finance, Parallel computing, Option pricing, Asian option, Stochastic volatility
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Actuarial Science & Insurance
SWORD Depositor:
[thumbnail of AsianOptionsStochVolParallel.pdf]
Text - Accepted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (697kB) | Preview


Add to AnyAdd to TwitterAdd to FacebookAdd to LinkedinAdd to PinterestAdd to Email


Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login