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Highlights A point-to-point response to reviewers’ comments is given in the response letter to them. In the submitted revision all changes are highlighted in blue.

In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general affine stochastic volatility framework.The accuracy is justified both theoretically and experimentally. In addition, to speed up the valuation process, we employ high-performance computing technologies. More specifically, we develop a parallel option pricing system that can be easily reproduced on parallel computers, also realized as a cluster of personal computers. Numerical results showing the accuracy and efficiency of the procedure are reported in the paper.