Wavelet techniques for option pricing on advanced architectures

Authors:
Stefania Corsaro;Daniele Marazzina;Zelda Marino
Affiliations:
Dipartimento di Statistica e Matematica per la Ricerca Economica, Università degli Studi di Napoli "Parthenope", Napoli, Italy and Istituto di Calcolo e Reti ad Alte Prestazioni, Napoli, Ital ...;Dipartimento di Matematica, Politecnico di Milano, Milano, Italy;Dipartimento di Statistica e Matematica per la Ricerca Economica, Università degli Studi di Napoli "Parthenope", Napoli, Italy
Venue:
Euro-Par 2010 Proceedings of the 2010 conference on Parallel processing
Year:
2010

Citing 6
Cited 0

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Abstract

This work focuses on the development of a parallel pricing algorithm for Asian options based on the Discrete Wavelet Transform. Following the approach proposed in [6], 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.