Pricing Asian options by Monte Carlo method under MPI environment

zbMATH Open1176.91155MaRDI QIDQ5192148FDOQ5192148

Authors: Hamid Seghiouer, Abdeluaab Lidouh, Fatima Zahra Nqi 

Publication date: 4 August 2009

Full work available at URL: http://www.m-hikari.com/ijma/ijma-password-2008/ijma-password25-28-2008/index.html

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zbMATH Keywords

parallel computingAsian optionsmessage passing interface (MPI)Black-Scholes model, Monte Carlo method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (8)

• The parallel calculations algorithm of the top cost for Asian option in the Cox- Ross-Rubinstein model
• Parallel Monte Carlo method for pricing Asian options using trapezium scheme
• A general framework for pricing Asian options under stochastic volatility on parallel architectures
• Title not available (Why is that?)
• Multilevel Monte Carlo for Asian options and limit theorems
• A parallel wavelet-based pricing procedure for Asian options
• Monte Carlo acceleration methods for pricing Asian options in high performance computation
• The hedging strategy for Asian option

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