A general framework for pricing Asian options under stochastic volatility on parallel architectures
From MaRDI portal
Publication:1991237
DOI10.1016/j.ejor.2018.07.017zbMath1403.91333OpenAlexW2885076443WikidataQ129439865 ScholiaQ129439865MaRDI QIDQ1991237
Ioannis Kyriakou, Stefania Corsaro, Zelda Marino, Daniele Marazzina
Publication date: 30 October 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/20370/1/AsianOptionsStochVolParallel.pdf
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05)
Related Items (8)
A transform-based method for pricing Asian options under general two-dimensional models ⋮ Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps ⋮ Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ General multilevel Monte Carlo methods for pricing discretely monitored Asian options ⋮ A data-driven framework for consistent financial valuation and risk measurement ⋮ VIX derivatives, hedging and vol-of-vol risk ⋮ Asian rainbow option pricing formulas of uncertain stock model
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Jump-Diffusion Model for Option Pricing
- Pricing exotic derivatives exploiting structure
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Gamma expansion of the Heston stochastic volatility model
- On the duality principle in option pricing: semimartingale setting
- The Fourier-series method for inverting transforms of probability distributions
- Massively parallel processing of recursive multi-period portfolio models
- Market risk management in a post-Basel II regulatory environment
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- Econometric analysis of financial derivatives: an overview
- Smile from the past: a general option pricing framework with multiple volatility and leverage components
- Pricing average options under time-changed Lévy processes
- Moment explosions in stochastic volatility models
- Two singular diffusion problems
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options
- A Theory of the Term Structure of Interest Rates
- Inverting Analytic Characteristic Functions and Financial Applications
- ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS
- Efficient and accurate quadratic approximation methods for pricing Asian strike options
- PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS
- An improved convolution algorithm for discretely sampled Asian options
- A Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and its Applications in Financial Engineering
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- A General Framework for Pricing Asian Options Under Markov Processes
- Reducing Delay in Preemptive Repeat Priority Queues
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
- Geometric Asian option pricing in general affine stochastic volatility models with jumps
- A new Fourier transform algorithm for value-at-risk
- Some recent developments in stochastic volatility modelling
- A parallel wavelet-based pricing procedure for Asian options
- Algorithm 644
- Stochastic Volatility for Lévy Processes
- Financial Modelling with Jump Processes
- Numerical Inversion of Laplace Transforms of Probability Distributions
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
This page was built for publication: A general framework for pricing Asian options under stochastic volatility on parallel architectures
