Option pricing, maturity randomization and distributed computing

DOI10.1016/J.PARCO.2010.03.002MaRDI QIDQ991134zbMATH OpenOpenAlexFDO

Authors Gianluca Fusai, Daniele Marazzina, Marina Marena

Publication date 2 September 2010

Published in Parallel Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.parco.2010.03.002

zbMATH Keywords

option pricing[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]grid computingintegral equationsdiscrete monitoring

Mathematics Subject Classification ID

Network design and communication in computer systems (68M10)

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Cites work

• A continuity correction for discrete barrier options
• A jump-diffusion model for option pricing
• A software architecture framework for on-line option pricing
• An exact analytical solution for discrete barrier options
• Analysis of quadrature methods for pricing discrete barrier options
• Connecting discrete and continuous path-dependent options
• Fast solution methods for Fredholm integral equations of the second kind
• Financial Modelling with Jump Processes
• Implementing models in quantitative finance: methods and cases
• Mathematical methods for foreign exchange. A financial engineer's approach
• Numerical inversion of probability generating functions
• Numerical mathematics.
• Option pricing when underlying stock returns are discontinuous
• Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives
• Performance evaluation of a multithreaded fast Fourier transform algorithm for derivative pricing
• Performance optimization of financial option calculations
• Randomization and the American put
• Spectral calibration of exponential Lévy models
• THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING

Cited in

(4)

• Jumps and stochastic volatility in crude oil prices and advances in average option pricing
• Simulation of multi-option pricing on distributed computing
• A parallel wavelet-based pricing procedure for Asian options
• Z-Transform and preconditioning techniques for option pricing

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