Performance optimization of financial option calculations

DOI10.1016/S0167-8191(99)00123-4zbMATH Open0939.91056OpenAlexW2025717841MaRDI QIDQ1978681FDOQ1978681

Authors: S. C. Perry, R. H. Grimwood, D. J. Kerbyson, E. Papaefstathiou, G. R. Nudd 

Publication date: 4 June 2000

Published in: Parallel Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-8191(99)00123-4

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zbMATH Keywords

parallel computingfinancial option pricingperformance steeringrun-time optimization

Mathematics Subject Classification ID

Modes of computation (nondeterministic, parallel, interactive, probabilistic, etc.) (68Q10)

Cited In (5)

• An object-oriented framework using design patterns for numerical option pricing
• Parallel Processing and Applied Mathematics
• Option pricing, maturity randomization and distributed computing
• Optimisation of application execution on dynamic systems
• High-performance computing in finance. Problems, methods, and solutions

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