Asian option pricing with orthogonal polynomials

Pricing the Asian Call Option

Background material on measure-theoretic probability theory and stochastic calculus is provided in order to clarify notation and inform the reader unfamiliar with these concepts. These fields are then employed in exploring two distinct but related approaches to fair option pricing: developing a partial differential equation whose solution, given specified boundary conditions, is the desired fai...

Asian Option Pricing and Volatility

An Asian option is a path-depending exotic option, which means that either the settlement price or the strike of the option is formed by some aggregation of underlying asset prices during the option lifetime. This thesis will focus on European style Arithmetic Asian options where the settlement price at maturity is formed by the arithmetic average price of the last seven days of the underlying ...

Parallel computing in Asian option pricing

We discuss the use of parallel computing in Asian option pricing and evaluate the efficiencyof various algorithms. We only focus on “backward-starting fixed strike” Asian options thatare continuously averaged. We implement a partial differential equation (PDE) approach thatinvolves a single state variable to price the Asian option, and implement the same methodologyto price a st...

Asian Option Pricing on Intel® MIC Architecture

In this paper, we discuss the problem of pricing one exotic option, the strong path dependent Asian option using the Black–Scholes model and compare how the pricing algorithm can be implemented on Intel® Many Integrated Core or MIC Architecture and achieve impressive performance gains. We can demonstrate that a 2-year contract with 252 times steps and 1,000,000 samples can be priced in approxim...

Orthogonal Polynomials with Orthogonal Derivatives