Parallel computing in Asian option pricing
| Autor: | Süleyman Özekici, Halis Sak, I İlkay Boduroğlu |
|---|---|
| Přispěvatelé: | TR32631 |
| Rok vydání: | 2007 |
| Předmět: |
linear-systems
Mathematical optimization State variable doğrusal sistemler hesaplamalı finans Computer Networks and Communications Computer science paralel hesaplama Parallel computing Theoretical Computer Science Artificial Intelligence finite-difference methods equations Code (cryptography) Asian option Finite difference methods for option pricing Massively parallel sonlu fark yöntemleri algorithm Partial differential equation parallel computing Computational finance Asya opsiyon fiyatlandırma Finite difference method Computer Graphics and Computer-Aided Design Parabolic partial differential equation algoritma Asian option pricing Hardware and Architecture computational finance denklemler Software |
| Zdroj: | Parallel Computing. 33:92-108 |
| ISSN: | 0167-8191 |
| DOI: | 10.1016/j.parco.2006.11.002 |
| Popis: | We discuss the use of parallel computing in Asian option pricing and evaluate the efficiency of various algorithms. We only focus on "backward-starting fixed strike" Asian options that are continuously averaged. We implement a partial differential equation (PDE) approach that involves a single state variable to price the Asian option, and implement the same methodology to price a standard European option to check for accuracy. A parabolic PDE is solved by using both explicit and Crank-Nicolson's implicit finite-difference methods. In particular, we look for algorithms designed for implementing the computations in massively parallel processors (MPP). We evaluate the performance of the algorithms by comparing the numerical results with respect to accuracy and wall-clock time of code executions. Codes are executed on a Linux PC cluster. (c) 2006 Elsevier B.V. All rights reserved. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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