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Parallel computing in Asian option pricing

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Author
Sak, Halis
Özekici, Süleyman
Boduroğlu, İlkay
Type
Article
Date
2007-03
Language
en_US
Metadata
Show full item record
Abstract
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.
Subject
Asian option pricing
computational finance
parallel computing
finite-difference methods
linear-systems
algorithm
equations
Asya opsiyon fiyatlandırma
hesaplamalı finans
paralel hesaplama
sonlu fark yöntemleri
doğrusal sistemler
algoritma
denklemler
URI
http://hdl.handle.net/11413/1070
Collections
  • Makaleler / Articles [70]
  • Scopus Publications [724]
  • WoS Publications [1016]

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İstanbul Kültür University

Hakkında |Politika | Kütüphane | İletişim | Send Feedback | Admin

Istanbul Kültür University, Ataköy Campus E5 Karayolu Üzeri Bakırköy 34158, İstanbul / TURKEY
Copyright © İstanbul Kültür University

Creative Commons Lisansı
IKU Institutional Repository, Creative Commons Alıntı-GayriTicari-Türetilemez 4.0 Uluslararası Lisansı ile lisanslanmıştır.

Designed by  UNIREPOS