A general framework for pricing Asian options under stochastic volatility on parallel architectures
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Publication:1991237
DOI10.1016/J.EJOR.2018.07.017zbMATH Open1403.91333OpenAlexW2885076443WikidataQ129439865 ScholiaQ129439865MaRDI QIDQ1991237FDOQ1991237
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
Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60)
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Cited In (10)
- Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
- 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
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- A data-driven framework for consistent financial valuation and risk measurement
- Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
- On pricing of discrete Asian and Lookback options under the Heston model
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Asian rainbow option pricing formulas of uncertain stock model
- VIX derivatives, hedging and vol-of-vol risk
Uses Software
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