A general framework for pricing Asian options under stochastic volatility on parallel architecture
Year of publication: |
1 February 2019
|
---|---|
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
|
Subject: | Finance | Parallel computing | Option pricing | Asian option | Stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Experiment | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading |
-
Perpetual options on multiple underlyings
Duck, Peter W., (2014)
-
On the importance of the traders' rules for pricing options : evidence from intraday data
Kim, Sol, (2014)
-
The continuous limit of weak GARCH
Alexander, Carol, (2021)
- More ...
-
A General Framework for Pricing Asian Options Under Stochastic Volatility on Parallel Architectures
Corsaro, Stefania, (2019)
-
Machine learning techniques in nested stochastic simulations for life insurance
Castellani, Gilberto, (2021)
-
An Investigation of Machine Learning Approaches in the Solvency II Valuation Framework
Castellani, Gilberto, (2019)
- More ...