NDLI: A general framework for pricing Asian options under stochastic volatility on parallel architectures

Content Provider	Scilit
Author	Corsaro, Stefania Kyriakou, Ioannis Marazzina, Daniele Marino, Zelda
Copyright Year	2018
Description	Journal: European Journal of Operational Research
Related Links	https://re.public.polimi.it/retrieve/handle/11311/1066974/465124/AsianOptionsStochVolParallel_FINALb.pdf
Ending Page	1095
Page Count	14
Starting Page	1082
ISSN	03772217
DOI	10.1016/j.ejor.2018.07.017
Journal	European Journal of Operational Research
Issue Number	3
Volume Number	272
Language	English
Publisher	Elsevier BV
Publisher Date	2019-02-01
Access Restriction	Open
Subject Keyword	Journal: European Journal of Operational Research Operations Research and Management Science Parallel Computing Option Pricing Asian Option Stochastic Volatility
Content Type	Text
Resource Type	Article
Subject	Industrial and Manufacturing Engineering Management Science and Operations Research Information Systems and Management Computer Science Modeling and Simulation

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A general framework for pricing Asian options under stochastic volatility on parallel architectures