Cache-optimal algorithms for option pricing

DOI10.1145/1644001.1644008MaRDI QIDQ2989088zbMATH OpenOpenAlexWikidataFDO

Authors Mohammad Zubair, John Savage

Publication date 19 May 2017

Published in ACM Transactions on Mathematical Software (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/1644001.1644008

zbMATH Keywords

cache blockingmemory hierarchy

Mathematics Subject Classification ID

Numerical algorithms for specific classes of architectures (65Y10) Complexity and performance of numerical algorithms (65Y20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• High Performance Implementation of Binomial Option Pricing
• Trinomial-tree Based Parallel Option Price Valuations
• scientific article; zbMATH DE number 2011837
• scientific article; zbMATH DE number 1445384
• scientific article; zbMATH DE number 1432342

Cited in

(3)

• Upper and lower I/O bounds for pebbling \(r\)-pyramids
• High Performance Implementation of Binomial Option Pricing
• Upper and lower I/O bounds for pebbling \(r\)-pyramids

This page was built for publication: Cache-optimal algorithms for option pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2989088)