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

European Journal of Operational Research, 2019, 272(3), 1082-1095

30 Pages Posted: 27 Feb 2019

See all articles by Stefania Corsaro

Stefania Corsaro

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

Ioannis Kyriakou

City University London - Sir John Cass Business School

Daniele Marazzina

Polytechnic University of Milan - Department of Mathematics

Zelda Marino

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

Date Written: September 9, 2018

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

Suggested Citation

Corsaro, Stefania and Kyriakou, Ioannis and Marazzina, Daniele and Marino, Zelda, A General Framework for Pricing Asian Options Under Stochastic Volatility on Parallel Architectures (September 9, 2018). European Journal of Operational Research, 2019, 272(3), 1082-1095, Available at SSRN: https://ssrn.com/abstract=3331550 or http://dx.doi.org/10.2139/ssrn.3331550

Stefania Corsaro

University of Naples Parthenope - Department of Management Studies and Quantitative Methods ( email )

Via Medina 40
Via Generale Parisi, 13
Naples, 80133
United States

Ioannis Kyriakou (Contact Author)

City University London - Sir John Cass Business School ( email )

Faculty of Actuarial Science & Insurance
106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 (0)20 7040 8738 (Phone)
+44 (0)20 7040 8881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/experts/I.Kyriakou

Daniele Marazzina

Polytechnic University of Milan - Department of Mathematics ( email )

Via Bonardi, 9
Milano, MI 20133
Italy

Zelda Marino

University of Naples Parthenope - Department of Management Studies and Quantitative Methods ( email )

Via Medina 40
Via Generale Parisi, 13
Naples, 80133
United States

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