Cache-optimal algorithms for option pricing

DOI10.1145/1644001.1644008zbMATH Open1364.65319OpenAlexW2035937417WikidataQ113310513 ScholiaQ113310513MaRDI QIDQ2989088FDOQ2989088

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

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zbMATH Keywords

memory hierarchycache blocking

Mathematics Subject Classification ID

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

Cited In (3)

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

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