A general framework for pricing Asian options under stochastic volatility on parallel architecture
Stefania Corsaro, Ioannis Kyriakou, Daniele Marazzina, Zelda Marino
| Year of publication: |
1 February 2019
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|---|---|
| Authors: | Corsaro, Stefania ; Kyriakou, Ioannis ; Marazzina, Daniele ; Marino, Zelda |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 272.2019, 3 (1.2.), p. 1082-1095
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| Subject: | Finance | Parallel computing | Option pricing | Asian option | Stochastic volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.07.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011942796