dc.contributor |
Graduate Program in Industrial Engineering. |
|
dc.contributor.advisor |
Boduroğlu, İsmail İlkay. |
|
dc.contributor.author |
Sak, Halis. |
|
dc.date.accessioned |
2023-03-16T10:30:53Z |
|
dc.date.available |
2023-03-16T10:30:53Z |
|
dc.date.issued |
2003. |
|
dc.identifier.other |
IE 2003 S25 |
|
dc.identifier.uri |
http://digitalarchive.boun.edu.tr/handle/123456789/13493 |
|
dc.description.abstract |
We discuss the use of parallel computing in Asian option pricing and evaluate the efficiency of various algorithms. We only focus on "backward-starting fixed strike" continuously averaged Asian options. We implement a one-state-variable partial differential equation (P.D.E.) approach (Rogers and Shi (1995) and Alziary et al. (1997)) to price an Asian option. We also implement the same methodology to price a standard European option as the accuracy check for Asian option. We solve this parabolic P.D.E. by using both explicit and Crank-Nicolson implicit finite-difference methods. Then, we look for algorithms designed for implementing these computations in parallel. Finally, ye evaluate all the algorithms by comparing the numerical results with respect to accu- . racy and wall-clock time of code executions. Codes are executed on Advanced System for Multi-Computer Applications (ASMA) Linux PC cluster. ASMA is located in the Department of Computer Engineering in Bogazisi University, Turkey. |
|
dc.format.extent |
30cm. |
|
dc.publisher |
Thesis (M.S.)-Bogazici University. Institute for Graduate Studies in Science and Engineering, 2003. |
|
dc.relation |
Includes appendices. |
|
dc.relation |
Includes appendices. |
|
dc.subject.lcsh |
Parallel processing (Electronic computers) |
|
dc.title |
Parallel computing in asian option pricing |
|
dc.format.pages |
xi, 90 leaves; |
|