A general framework for pricing Asian options under stochastic volatility on parallel architectures
type: Item
instance of: scholarly article
title: A general framework for pricing Asian options under stochastic volatility on parallel architectures
zbMATH Open document ID: 1403.91333
author: Stefania Corsaro
author: Ioannis Kyriakou
author: Daniele Marazzina
author: Zelda Marino
published in: European Journal of Operational Research
publication date: 2018-10-30T00:00:00Z
full work available at URL: AsianOptionsStochVolParallel.pdf
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65Y05
zbMATH DE Number: 6968117
zbMATH Keywords: finance
zbMATH Keywords: parallel computing
zbMATH Keywords: option pricing
zbMATH Keywords: Asian option
zbMATH Keywords: stochastic volatility
describes a project that uses: FFTW
describes a project that uses: Algorithm 644
MaRDI profile type: Publication
OpenAlex ID: W2885076443
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Wikidata QID: Q129439865
DOI: 10.1016/J.EJOR.2018.07.017
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description: scientific article; zbMATH DE number 6968117