Parallel computing in asian option pricing

Simple item page
dc.contributorGraduate Program in Industrial Engineering.
dc.contributor.advisorBoduroğlu, İsmail İlkay.
dc.contributor.authorSak, Halis.
dc.date.accessioned2023-03-16T10:30:53Z
dc.date.available2023-03-16T10:30:53Z
dc.date.issued2003.
dc.description.abstractWe 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.
dc.format.extent30cm.
dc.format.pagesxi, 90 leaves;
dc.identifier.otherIE 2003 S25
dc.identifier.urihttps://digitalarchive.library.bogazici.edu.tr/handle/123456789/13493
dc.publisherThesis (M.S.)-Bogazici University. Institute for Graduate Studies in Science and Engineering, 2003.
dc.relationIncludes appendices.
dc.relationIncludes appendices.
dc.subject.lcshParallel processing (Electronic computers)
dc.titleParallel computing in asian option pricing

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
b1268046.005915.001.PDF
Size:
2.57 MB
Format:
Adobe Portable Document Format
Download

Collections

M.S. Theses