|Titolo||A parallel wavelet-based pricing procedure for Asian options|
|Autore/i||Corsaro, S.; Marazzina, D.; Marino, Z.|
|Link||Download full text|
|Abstract||In 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.