scientific article

zbMath1229.91335MaRDI QIDQ3102957

Christina C. Christara, Duy Minh Dang, Kenneth R. Jackson

Publication date: 25 November 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

PDEparallel computingpartial differential equationfinite differencealternating direction implicitADIGPUsgraphics processing unitsmulti-asset options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Financial applications of other theories (91G80) Parallel numerical computation (65Y05) Numerical algorithms for specific classes of architectures (65Y10)

Related Items (7)

High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU ⋮ Alternating direction implicit time integrations for finite difference acoustic wave propagation: parallelization and convergence ⋮ An ADI extrapolated Crank-Nicolson orthogonal spline collocation method for nonlinear reaction-diffusion systems ⋮ Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU ⋮ Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance ⋮ A Parallel Cyclic Reduction Algorithm for Pentadiagonal Systems with Application to a Convection-Dominated Heston PDE ⋮ Manycore Algorithms for Batch Scalar and Block Tridiagonal Solvers

Uses Software

• CUDA

This page was built for publication: