A Multistep Scheme to Solve Backward Stochastic Differential Equations for Option Pricing on GPUs (Q5119105): Difference between revisions
From MaRDI portal
Changed an Item |
Set OpenAlex properties. |
||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W3048177368 / rank | |||
Normal rank |
Revision as of 21:00, 19 March 2024
scientific article; zbMATH DE number 7243188
Language | Label | Description | Also known as |
---|---|---|---|
English | A Multistep Scheme to Solve Backward Stochastic Differential Equations for Option Pricing on GPUs |
scientific article; zbMATH DE number 7243188 |
Statements
A Multistep Scheme to Solve Backward Stochastic Differential Equations for Option Pricing on GPUs (English)
0 references
3 September 2020
0 references
stochastic differential equations
0 references
stable semi-discrete scheme
0 references
parallel algorithm using CUDA C programming
0 references