Parallel computing in asian option pricing
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Date
2003.
Authors
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Journal ISSN
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Thesis (M.S.)-Bogazici University. Institute for Graduate Studies in Science and Engineering, 2003.
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" continuously averaged Asian options. We implement a one-state-variable partial differential equation (P.D.E.) approach (Rogers and Shi (1995) and Alziary et al. (1997)) to price an Asian option. We also implement the same methodology to price a standard European option as the accuracy check for Asian option. We solve this parabolic P.D.E. by using both explicit and Crank-Nicolson implicit finite-difference methods. Then, we look for algorithms designed for implementing these computations in parallel. Finally, ye evaluate all the algorithms by comparing the numerical results with respect to accu- . racy and wall-clock time of code executions. Codes are executed on Advanced System for Multi-Computer Applications (ASMA) Linux PC cluster. ASMA is located in the Department of Computer Engineering in Bogazisi University, Turkey.