Parallel option pricing with Fourier space time-stepping method on graphics processing units (Q991129): Difference between revisions

@@ Property / describes a project that uses @@
+FFTW
@@ Property / describes a project that uses: FFTW / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.parco.2010.02.006
+Normal rank
@@ Property / OpenAlex ID @@
+W2104238795
@@ Property / OpenAlex ID: W2104238795 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical valuation of options with jumps in the underlying
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+Normal rank
@@ Property / cites work @@
+Implicit-explicit numerical schemes for jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Valuation of structured risk management products
@@ Property / cites work: Valuation of structured risk management products / rank @@
+Normal rank
@@ Property / cites work @@
+A penalty method for American options with jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Fourier space time-stepping for option pricing with Lévy models
+Normal rank
@@ Property / cites work @@
+Catastrophe options with stochastic interest rates and compound Poisson losses
+Normal rank
@@ Property / cites work @@
+Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives
+Normal rank
@@ Property / cites work @@
+Pricing perpetual American catastrophe put options: A penalty function approach
+Normal rank
@@ Property / cites work @@
+A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
+Normal rank
@@ Property / cites work @@
+Performance evaluation of a multithreaded fast Fourier transform algorithm for derivative pricing
+Normal rank