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
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.