Parallel option pricing with Fourier space time-stepping method on graphics processing units
DOI10.1016/J.PARCO.2010.02.006zbMATH Open1194.91194OpenAlexW2104238795MaRDI QIDQ991129FDOQ991129
Publication date: 2 September 2010
Published in: Parallel Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.parco.2010.02.006
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option pricingparallel computingfast Fourier transformgraphics processing unit[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=exponential+L%EF%BF%BD%EF%BF%BDvy+process&go=Go exponential L��vy process]Fourier space time-stepping method
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Theory of languages and software systems (knowledge-based systems, expert systems, etc.) for artificial intelligence (68T35) Parallel algorithms in computer science (68W10)
Cites Work
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- Numerical valuation of options with jumps in the underlying
- A penalty method for American options with jump diffusion processes
- Fourier space time-stepping for option pricing with Lévy models
- Implicit-explicit numerical schemes for jump-diffusion processes
- Pricing perpetual American catastrophe put options: A penalty function approach
- Catastrophe options with stochastic interest rates and compound Poisson losses
- Valuation of structured risk management products
- Performance evaluation of a multithreaded fast Fourier transform algorithm for derivative pricing
- Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives
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