So I’ve been busy lately and haven’t had the time to write any new blog posts, but I can’t let all of February go past without posting anything. So I might as well write a post related to what I’m currently working on. And that would be pricing an Asian Option.
But in stead of just posting some of the MATLAB code we’re currently working on, I thought I’d do it in Java. Why Java? Well, two reasons:
- It’s way faster than MATLAB
- Since we’re all getting more and more cores in our computers I might as well do it multithreaded
Although there are faster ways of doing this than using Monte Carlo simulations, that’s what I’ve gone for. Had I gone for a stochastic calculus solution it would be sort of pointless doing a multithreaded implementation, right?