A parallel FFT approach for derivative pricing

Proceedings of SPIE - The International Society for Optical Engineering

Volumn 4528, Issue , 2001, Pages 181-192

  Thulasiram, R K ^a   Thulasiraman, P ^a  

^a UNIVERSITY OF MANITOBA   (Canada)

Author keywords

Algorithms; Fast Fourier Tranform; Multithreading; Options Pricing; Performance

Indexed keywords

COMPUTATION THEORY; FAST FOURIER TRANSFORMS; FINITE ELEMENT METHOD; NUMERICAL METHODS; PARALLEL ALGORITHMS; PROGRAM PROCESSORS;

DERIVATIVE PRICING;

DATA REDUCTION;

EID: 0035167937     PISSN: 0277786X     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1117/12.434870     Document Type: Conference Paper

References (13)

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4. High-performance computing in finance: The last years and the next
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6. The fast fourier transform and its application to time series analysis
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8. Multithreaded algorithms for pricing a class of complex options
9. A study of the EARTH-MANNA multithreaded system