A Multistep Scheme to Solve Backward Stochastic Differential Equations for Option Pricing on GPUs (Q5119105)
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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)
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3 September 2020
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stochastic differential equations
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stable semi-discrete scheme
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parallel algorithm using CUDA C programming
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