Parallel Monte Carlo method for pricing Asian options using trapezium scheme

MaRDI QIDQ3224786zbMATH OpenFDO

Authors Hamid Seghiouer, Abdeluaab Lidouh, Fatima Zahra Nqi

Publication date 2 April 2012

Full work available at URL http://www.m-hikari.com/ams/ams-2011/ams-29-32-2011/index.html

zbMATH Keywords

parallel computingBlack-Scholes modelAsian optionspseudo random numbersMC methodmessage passing Interface (MPI)

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(2)

• A general framework for pricing Asian options under stochastic volatility on parallel architectures
• Pricing Asian options by Monte Carlo method under MPI environment

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