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Highly Efficient Stochastic Approaches for Computation of Multiple Integrals for European Options

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Proceedings of Sixth International Congress on Information and Communication Technology

Part of the book series: Lecture Notes in Networks and Systems ((LNNS,volume 236))

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Abstract

In this work we investigate advanced stochastic methods for solving a specific multidimensional problems related to computation of European style options in computational finance. Recently stochastic methods have become very important tool for high performance computing of very high dimensional problems in computational finance. The advantages and disadvantages of several highly efficient stochastic methods connected to European options evaluation will be analyzed. For the first time multidimensional integrals up to 100 dimensions related to European options will be computed with highly efficient lattice rules.

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Acknowledgements

Venelin Todorov is supported by the Bulgarian National Science Fund under Project DN 12/5-2017 “Efficient Stochastic Methods and Algorithms for Large-Scale Problems” and by the National Scientific Program “Information and Communication Technologies for a Single Digital Market in Science, Education and Security (ICT in SES)”, contract No DO1-205/23.11.2018, financed by the Ministry of Education and Science in Bulgaria. Stoyan Apostolov is supported by the Bulgarian National Science Fund under Young Scientists Project KP-06-M32/2 - 17.12.2019 “Advanced Stochastic and Deterministic Approaches for Large-Scale Problems of Computational Mathematics”.

Author information

Authors and Affiliations

  1. Institute of Mathematics and Informatics, Bulgarian Academy of Sciences, Department of Information Modeling, Acad. Georgi Bonchev Str., Block 8, 1113, Sofia, Bulgaria

    Venelin Todorov & Stoyan Poryazov

  2. Institute of Information and Communication Technologies, Bulgarian Academy of Sciences, Department of Parallel Algorithms, Acad. G. Bonchev Str., Block 25 A, 1113, Sofia, Bulgaria

    Venelin Todorov & Ivan Dimov

  3. Faculty of Mathematics and Informatics, Sofia University, 5 James Bourchier Blvd., 1164, Sofia, Bulgaria

    Stoyan Apostolov

Authors
  1. Venelin Todorov
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  2. Ivan Dimov
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  3. Stoyan Apostolov
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  4. Stoyan Poryazov
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Corresponding author

Correspondence to Venelin Todorov .

Editor information

Editors and Affiliations

  1. Middlesex University, London, UK

    Xin-She Yang

  2. University of Reading, Reading, UK

    Simon Sherratt

  3. JIS University, Kolkata, India

    Nilanjan Dey

  4. Global Knowledge Research Foundation, Ahmedabad, India

    Amit Joshi

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© 2022 The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd.

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Todorov, V., Dimov, I., Apostolov, S., Poryazov, S. (2022). Highly Efficient Stochastic Approaches for Computation of Multiple Integrals for European Options. In: Yang, XS., Sherratt, S., Dey, N., Joshi, A. (eds) Proceedings of Sixth International Congress on Information and Communication Technology. Lecture Notes in Networks and Systems, vol 236. Springer, Singapore. https://doi.org/10.1007/978-981-16-2380-6_1

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