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
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.
| Publication Type: | Article |
|---|---|
| Additional Information: | © 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| Publisher Keywords: | Finance, Parallel computing, Option pricing, Asian option, Stochastic volatility |
| Subjects: | H Social Sciences > HG Finance |
| Departments: | Bayes Business School > Actuarial Science & Insurance |
Available under License Creative Commons Attribution Non-commercial No Derivatives.
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