Option pricing, maturity randomization and distributed computing

DOI10.1016/J.PARCO.2010.03.002zbMath1204.68016OpenAlexW2076994700MaRDI QIDQ991134

Daniele Marazzina, Gianluca Fusai, Marina Marena

Publication date: 2 September 2010

Published in: Parallel Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.parco.2010.03.002

zbMATH Keywords

Lévy processesoption pricingintegral equationsgrid computingdiscrete monitoring

Mathematics Subject Classification ID

Network design and communication in computer systems (68M10)

Related Items (3)

Jumps and stochastic volatility in crude oil prices and advances in average option pricing ⋮ A parallel wavelet-based pricing procedure for Asian options ⋮ Z-Transform and preconditioning techniques for option pricing

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