Parallel option pricing with Fourier space time-stepping method on graphics processing units
From MaRDI portal
Publication:991129
DOI10.1016/j.parco.2010.02.006zbMath1194.91194OpenAlexW2104238795MaRDI QIDQ991129
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
option pricingfast Fourier transformparallel computinggraphics processing unitexponential Lévy processFourier space time-stepping method
Numerical methods (including Monte Carlo methods) (91G60) Parallel algorithms in computer science (68W10) Derivative securities (option pricing, hedging, etc.) (91G20) Theory of languages and software systems (knowledge-based systems, expert systems, etc.) for artificial intelligence (68T35)
Related Items
Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions, Accelerating the Fourier split operator method via graphics processing units, A parallel wavelet-based pricing procedure for Asian options
Uses Software
Cites Work
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Valuation of structured risk management products
- Implicit-explicit numerical schemes for jump-diffusion processes
- Pricing perpetual American catastrophe put options: A penalty function approach
- Performance evaluation of a multithreaded fast Fourier transform algorithm for derivative pricing
- Numerical valuation of options with jumps in the underlying
- A penalty method for American options with jump diffusion processes
- Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives
- Catastrophe options with stochastic interest rates and compound Poisson losses
- Fourier space time-stepping for option pricing with Lévy models
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
