Acceleration of option pricing technique on graphics processing units
نویسندگان
چکیده
منابع مشابه
Acceleration of option pricing technique on graphics processing units
The acceleration of an option pricing technique based on Fourier cosine expansions on the graphics processing unit (GPU) is reported. European options, in particular with multiple strikes, and Bermudan options will be discussed. The influence of the number of terms in the Fourier cosine series expansion, the number of strikes, as well as the number of exercise dates for Bermudan options is expl...
متن کاملDELFT UNIVERSITY OF TECHNOLOGY REPORT 10-03 Acceleration of Option Pricing Technique on Graphics Processing Units
The acceleration of an option pricing technique based on Fourier cosine expansions on the Graphics Processing Unit (GPU) is reported. European options, in particular with multiple strikes, and Bermudan options will be discussed. The influence of the number of terms in the Fourier cosine series expansion, the number of strikes, as well as the number of exercise dates for Bermudan options, are ex...
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ژورنال
عنوان ژورنال: Concurrency and Computation: Practice and Experience
سال: 2012
ISSN: 1532-0626
DOI: 10.1002/cpe.2825