This work focuses on the development of a parallel pricing algorithm for Asian options based on a Discrete Wavelet Transform. The pricing process requires the solution of a set of independent Fredholm integral equations of the second kind. Within this evaluation framework, our aim is to develop a robust parallel pricing algorithm based on wavelet techniques for the pricing problem of discrete monitoring arithmetic Asian options. In particular, the Discrete Wavelet Transform is applied in order to approximate the kernels of the integral equations. We discuss both the accuracy of the method and its scalability properties.

Wavelet Techniques for Option Pricing on Advanced Architectures

Stefania Corsaro;Zelda Marino
2011

Abstract

This work focuses on the development of a parallel pricing algorithm for Asian options based on a Discrete Wavelet Transform. The pricing process requires the solution of a set of independent Fredholm integral equations of the second kind. Within this evaluation framework, our aim is to develop a robust parallel pricing algorithm based on wavelet techniques for the pricing problem of discrete monitoring arithmetic Asian options. In particular, the Discrete Wavelet Transform is applied in order to approximate the kernels of the integral equations. We discuss both the accuracy of the method and its scalability properties.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11367/30483
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