Now showing items 1-2 of 2

    • Parallel computing in Asian option pricing 

      Sak, Halis; Özekici, Süleyman; Boduroğlu, İlkay (ELSEVIER SCIENCE BV, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS, 2007-03)
      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" Asian options that are continuously averaged. We implement ...
    • T-Copula Generation For Control Variates 

      Hormann, Wolfgang; Sak, Halis (Elsevier Science Bv, Po Box 211, 1000 Ae Amsterdam, Netherlands, 2010-12)
      The standard method for generating multi-t vectors is simple and convenient but it has the disadvantage that the generated multi-normal and multi-t vectors are not similar. For t-copula models this destroys much of the ...