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

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 highperformance 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.

Asian rainbow option pricing formulas of uncertain stock model

“…For pricing discrete arithmetic Asian option, a transform-based algorithm was presented by Corsaro et al. ( 2019 ). By means of two finite difference methods, the pricing formulas of Asian option were deduced by Mudzimbabwe et al.…”