A general framework for pricing Asian options under stochastic volatility on parallel architectures
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Cites work
- scientific article; zbMATH DE number 1197366 (Why is no real title available?)
- scientific article; zbMATH DE number 1424149 (Why is no real title available?)
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- A general framework for pricing Asian options under Markov processes
- A jump-diffusion model for option pricing
- A new Fourier transform algorithm for value-at-risk
- A parallel wavelet-based pricing procedure for Asian options
- A theory of the term structure of interest rates
- A two-sided Laplace inversion algorithm with computable error bounds and its applications in financial engineering
- Algorithm 644
- An improved convolution algorithm for discretely sampled Asian options
- Econometric analysis of financial derivatives: an overview
- Efficient and accurate quadratic approximation methods for pricing Asian strike options
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Financial Modelling with Jump Processes
- Gamma expansion of the Heston stochastic volatility model
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Geometric Asian option pricing in general affine stochastic volatility models with jumps
- Inverting analytic characteristic functions and financial applications
- Market risk management in a post-Basel II regulatory environment
- Massively parallel processing of recursive multi-period portfolio models
- Moment explosions in stochastic volatility models
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Numerical Inversion of Laplace Transforms of Probability Distributions
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- On the martingale property in stochastic volatility models based on time-homogeneous diffusions
- Pricing Asian options in affine GARCH models
- Pricing average options under time-changed Lévy processes
- Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
- Pricing exotic derivatives exploiting structure
- Reducing Delay in Preemptive Repeat Priority Queues
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- Smile from the past: a general option pricing framework with multiple volatility and leverage components
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- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Stochastic Volatility for Lévy Processes
- The Fourier-series method for inverting transforms of probability distributions
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Two singular diffusion problems
Cited in
(16)- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- On pricing of discrete Asian and Lookback options under the Heston model
- A software architecture framework for on-line option pricing
- Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
- Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
- A data-driven framework for consistent financial valuation and risk measurement
- VIX derivatives, hedging and vol-of-vol risk
- Monte Carlo acceleration methods for pricing Asian options in high performance computation
- A parallel wavelet-based pricing procedure for Asian options
- scientific article; zbMATH DE number 1931022 (Why is no real title available?)
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- A transform-based method for pricing Asian options under general two-dimensional models
- Pricing Asian options by Monte Carlo method under MPI environment
- The parallel calculations algorithm of the top cost for Asian option in the Cox- Ross-Rubinstein model
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Asian rainbow option pricing formulas of uncertain stock model
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