Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
W. Dong and B. Kang
Year of publication: |
2021
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Authors: | Dong, Wenfeng ; Kang, Boda |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 3, p. 501-522
|
Subject: | CUDA | Gas sales agreement | GPU | Indexation | Swing options |
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