A general framework for pricing Asian options under stochastic volatility on parallel architectures

Stefania Corsaro, Ioannis Kyriakou, Daniele Marazzina and Zelda Marino

European Journal of Operational Research, 2019, vol. 272, issue 3, 1082-1095

Abstract: In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The accuracy is justified both theoretically and experimentally. In addition, to speed up the valuation process, we employ high-performance computing technologies. More specifically, we develop a parallel option pricing system that can be easily reproduced on parallel computers, also realized as a cluster of personal computers. Numerical results showing the accuracy, speed and efficiency of the procedure are reported in the paper.

Keywords: Finance; Parallel computing; Option pricing; Asian option; Stochastic volatility (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:272:y:2019:i:3:p:1082-1095

DOI: 10.1016/j.ejor.2018.07.017

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