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A parallel wavelet-based pricing procedure for Asian options - MaRDI portal

A parallel wavelet-based pricing procedure for Asian options (Q4682997)

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scientific article; zbMATH DE number 6939209
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English
A parallel wavelet-based pricing procedure for Asian options
scientific article; zbMATH DE number 6939209

    Statements

    title
    A parallel wavelet-based pricing procedure for Asian options (English)
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    author
    Daniele Marazzina
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    Stefania Corsaro
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    Zelda Marino
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    publication date
    19 September 2018
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    zbMATH Keywords
    Asian options
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    option pricing
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    wavelet transform
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    high-performance computing
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    describes a project that uses
    SPARSKIT
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    PUMMA
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    GSL
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    cites work
    Q4855364
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    Q2768756
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    Q4543029
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    Q3410604
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    91G20
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    65T60
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    91-04
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    65Y05
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    zbMATH DE Number
    6939209
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    OpenAlex ID
    W2060989478
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