PARALLEL ALGORITHMS FOR FINANCIAL DERIVATIVES EVALUATION IN GENERALIZED HESTON MODEL

TIBERIU SOCACIU(1), ILIE PARPUCEA(2), BAZIL PÂRV(3), MARIA PÂRV(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

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
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