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A general framework for pricing Asian options under stochastic volatility on parallel architectures
Authors:Stefania Corsaro  Ioannis Kyriakou  Daniele Marazzina  Zelda Marino
Affiliation:1. Dipartimento di Studi Aziendali e Quantitativi, Università di Napoli Parthenope, via Generale Parisi 13, I-80132, Italy;2. Cass Business School, City, University of London, 106 Bunhill Row, London EC1Y 8TZ, UK;3. Dipartimento di Matematica, Politecnico di Milano, via Bonardi 9, Milano I-20133, Italy
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  91G20  91G60  65Y05
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