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

DOI10.1007/S11432-010-3109-7zbMATH Open1497.91339OpenAlexW1983472139MaRDI QIDQ5046444FDOQ5046444

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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