GPU acceleration of the stochastic grid bundling method for early-exercise options (Q2804499)
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scientific article; zbMATH DE number 6575428
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| English | GPU acceleration of the stochastic grid bundling method for early-exercise options |
scientific article; zbMATH DE number 6575428 |
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GPU acceleration of the stochastic grid bundling method for early-exercise options (English)
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29 April 2016
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computational finance
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early-exercise derivatives
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basket Bermudan options
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high-dimensional pricing
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stochastic grid bundling method (SGBM)
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Monte Carlo simulation
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least-squares regression
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high performance computing
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parallel programming
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GPGPU
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compute unified device architecture (CUDA)
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0.9275805950164796
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0.7834171056747437
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0.7692999839782715
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0.7688339352607727
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0.7641908526420593
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