Stefania Corsaro

University of Naples Parthenope - Department of Management Studies and Quantitative Methods

Via Medina 40

Via Generale Parisi, 13

Naples, 80133

United States

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Scholarly Papers (1)

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A General Framework for Pricing Asian Options Under Stochastic Volatility on Parallel Architectures

European Journal of Operational Research, 2019, 272(3), 1082-1095
Number of pages: 30 Posted: 27 Feb 2019
University of Naples Parthenope - Department of Management Studies and Quantitative Methods, City University London - Sir John Cass Business School, Polytechnic University of Milan - Department of Mathematics and University of Naples Parthenope - Department of Management Studies and Quantitative Methods
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Abstract:

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Finance, Parallel Computing, Option Pricing, Asian Option, Stochastic Volatility