Performance evaluation of a multithreaded fast Fourier transform algorithm for derivative pricing

DOI10.1023/A:1024464001273zbMath1045.65503MaRDI QIDQ1425028

Ruppa K. Thulasiram, Parimala Thulasiraman

Publication date: 15 March 2004

Published in: The Journal of Supercomputing (Search for Journal in Brave)

zbMATH Keywords

performance; algorithms; fast Fourier transform; multithreading; options pricing

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65T50: Numerical methods for discrete and fast Fourier transforms

65Y20: Complexity and performance of numerical algorithms

Related Items

Parallel option pricing with Fourier space time-stepping method on graphics processing units, Option pricing, maturity randomization and distributed computing

Uses Software

• EARTH--MANNA