Performance evaluation of a multithreaded fast Fourier transform algorithm for derivative pricing
From MaRDI portal
Publication:1425028
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)
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