| Options are now traded actively on many exchanges across the world. Especially, some complex options such as multi-dimensional Asian options are much more widely used in the financial market. The price of an option needs to be computed to help investors in deciding if it is worthwhile entering a particular contract. Pricing multi-dimensional American-style Asian options is difficult because it involves early exercise possibilities, multi-dimensional asset management, as well as the path-dependency issue. Meanwhile, study of pricing multi-dimensional American-style Asian options is critical since it is widely traded in the market place. We address this problem in the current study.; In this thesis, we have developed a parallel algorithm for pricing the American-style Asian options and improved this algorithm by introducing a mathematical transformation to handle the interrelation of multi-dimensionality of the problem as well as reduce the computational cost to deal with the multi-dimensionality and hence can lead to quicker and more accurate solutions. (Abstract shortened by UMI.)... |
