Performance evaluation of a multithreaded fast Fourier transform algorithm for derivative pricing

Journal of Supercomputing

Volumn 26, Issue 1, 2003, Pages 43-58

  Thulasiram, Ruppa K ^a   Thulasiraman, Parimala ^a  

^a UNIVERSITY OF MANITOBA   (Canada)

Author keywords

Algorithms; Fast Fourier transform; Multithreading; Options pricing; Performance

Indexed keywords

C (PROGRAMMING LANGUAGE); COMPUTATIONAL COMPLEXITY; COMPUTER SIMULATION; DATA PROCESSING; FAST FOURIER TRANSFORMS; FINANCE; MONTE CARLO METHODS; PARALLEL ALGORITHMS;

DERIVATIVE PRICING; EFFICIENT ARCHITECTURE FORE RUNNING THREADS; MULTITHREADING; OPTIONS PRICING; PERFORMANCE EVALUATION;

PARALLEL PROCESSING SYSTEMS;

EID: 0042767553     PISSN: 09208542     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1024464001273     Document Type: Article

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