Efficient Monte Carlo-based options pricing on graphics processors and its optimizations

DOI10.1007/S11432-010-3109-7MaRDI QIDQ5046444zbMATH OpenOpenAlexFDO

Authors Li Liu, Youhui Zhang, Guang Wen Yang, Weimin Zheng

Publication date 28 October 2022

Published in Science China Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11432-010-3109-7

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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