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PARALLEL ALGORITHMS FOR FINANCIAL DERIVATIVES EVALUATION IN GENERALIZED HESTON MODEL


TIBERIU SOCACIU 1, ILIE PARPUCEA 2, BAZIL PĂ‚RV 3, MARIA PĂ‚RV 4
1. Faculty of Economics and Public Administration, Department of Informatics, “Ştefan cel Mare” University of Suceava, Suceava, Romania | Faculty of Informatics, Vasile Goldis West University of Arad, Arad, Romania, email: socaciu@seap.usv.ro
2. Faculty of Economics and Affairs, Department of Statistics–Forecasts–Mathematics, “Babeş–Bolyai” University of Cluj–Napoca, Cluj–Napoca, Romania, email: parpucea@econ.ubbcluj.ro
3. Faculty of Mathematics and Informatics, Department of Programming Languages and Methods, “Babeş–Bolyai”University of Cluj–Napoca, Cluj–Napoca, Romania, email: bparv@cs.ubbcluj.ro
4. Department of Mathematics–Informatics, University of Agricultural Sciences and Veterinary Medicine of Cluj–Napoca, Cluj–Napoca, Romania, email: maria_parv@yahoo.com

Issue:

SSRSMI, Number 2, Volume XIX

Section:

Volume 19, Number 2

Abstract:

This paper shows how can be estimated the value of an option if we assume the Heston model on a message-based architecture. We use two methods: first, a Monte Carlo method, then a parallelization of a recurrence obtained from a generalized Merton-Garman equation.

Keywords:

parallel algorithms, computational financial engineering, derivatives evaluation, Black–Scholes–Merton model, generalized Heston model, Black–Scholes equation, generalized Merton–Garman equation.

Code [ID]:

SSRSMI200902V19S01A0041 [0003153]

Full paper:

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