Heterogeneous computation of rainbow option prices using Fourier cosine series expansion under a mixed CPU-GPU computation framework
A. Cassagnes, Y. Chen and H. Ohashi
| Year of publication: |
2014
|
|---|---|
| Authors: | Cassagnes, A. ; Chen, Y. ; Ohashi, H. |
| Published in: |
Intelligent systems in accounting finance and management : international journal. - Chichester : Wiley & Sons, ISSN 1550-1949, ZDB-ID 2166336-1. - Vol. 21.2014, 2, p. 91-104
|
| Subject: | exotic options | GPGPU | distributed computation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010385628