PARALLEL ALGORITHMS FOR FINANCIAL DERIVATIVES EVALUATION IN GENERALIZED HESTON MODEL

  • TIBERIU SOCACIU
    Faculty of Economics and Public Administration, Department of Informatics, “Ştefan cel Mare” University of Suceava, Suceava, Romania
    socaciu@seap.usv.ro
  • ILIE PARPUCEA
    Faculty of Economics and Affairs, Department of Statistics–Forecasts–Mathematics, “Babeş–Bolyai” University of Cluj–Napoca, Cluj–Napoca, Romania
    parpucea@econ.ubbcluj.ro
  • BAZIL PÂRV
    Faculty of Mathematics and Informatics, Department of Programming Languages and Methods, “Babeş–Bolyai”University of Cluj–Napoca, Cluj–Napoca, Romania
    bparv@cs.ubbcluj.ro
  • MARIA PÂRV
    Department of Mathematics–Informatics, University of Agricultural Sciences and Veterinary Medicine of Cluj–Napoca, Cluj–Napoca, Romania
    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.

Cuvinte cheie

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