Parallel option pricing with Fourier space time-stepping method on graphics processing units (Q991129)
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scientific article; zbMATH DE number 5777736
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| English | Parallel option pricing with Fourier space time-stepping method on graphics processing units |
scientific article; zbMATH DE number 5777736 |
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Parallel option pricing with Fourier space time-stepping method on graphics processing units (English)
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2 September 2010
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option pricing
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exponential Lévy process
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Fourier space time-stepping method
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fast Fourier transform
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graphics processing unit
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parallel computing
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0.780790388584137
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0.7703917622566223
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0.7641908526420593
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