CodiceQDD 161
TitoloA parallel wavelet-based pricing procedure for Asian options
Autore/iCorsaro, S.; Marazzina, D.; Marino, Z.
LinkDownload full text
AbstractIn this paper we present a parallel pricing algorithm for Asian options based on the Discrete Wavelet Transform (DWT). The computational kernel of the pricing model is the solution of integral equations. We obtain a sparse and accurate representation of the kernel of such equations in wavelet functions bases. We moreover discuss the parallelization of the algorithm. Numerical results which show the accuracy and efficiency of the procedure are reported in the paper.