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

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+Numerical valuation of options with jumps in the underlying
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+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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+Implicit-explicit numerical schemes for jump-diffusion processes
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+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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+Valuation of structured risk management products
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+A penalty method for American options with jump diffusion processes
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+Fourier space time-stepping for option pricing with Lévy models
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+Catastrophe options with stochastic interest rates and compound Poisson losses
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+Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives
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+Pricing perpetual American catastrophe put options: A penalty function approach
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+A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
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+Performance evaluation of a multithreaded fast Fourier transform algorithm for derivative pricing
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