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Volumn 18, Issue , 2004, Pages 3239-3244

Improving data locality in parallel fast fourier transform algorithm for pricing financial derivatives

Author keywords

[No Author keywords available]

Indexed keywords

DATA ACQUISITION; MAPPING; MULTIPROCESSING SYSTEMS; NUMERICAL ANALYSIS; PARALLEL ALGORITHMS; PROBLEM SOLVING; SYNCHRONIZATION;

EID: 12444296455     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper
Times cited : (2)

References (12)
  • 1
    • 0002488565 scopus 로고    scopus 로고
    • Option valuation using the fast fourier transform
    • P. Carr and D. B. Madan. Option valuation using the fast fourier transform. The Journal of Computational Finance, 2(4):61-73, 1999.
    • (1999) The Journal of Computational Finance , vol.2 , Issue.4 , pp. 61-73
    • Carr, P.1    Madan, D.B.2
  • 5
    • 0042558676 scopus 로고    scopus 로고
    • Spread option valuation and the fast fourier transform
    • Judge Institute of Management Studies, Cambridge, England
    • M. Dempster and S. Hong. Spread Option Valuation and the Fast Fourier Transform. Technical Report WP 26/2000, Judge Institute of Management Studies, Cambridge, England, 2000.
    • (2000) Technical Report , vol.WP 26-2000
    • Dempster, M.1    Hong, S.2
  • 10
    • 0042767553 scopus 로고    scopus 로고
    • Performance evaluation of a multithreaded fast Fourier transform algorithm for derivative pricing
    • Aug.
    • R. K. Thulasiram and P. Thulasiraman. Performance Evaluation of a Multithreaded Fast Fourier Transform Algorithm for Derivative Pricing. The Journal of Supercomputing, 26(1):43-58, Aug. 2003.
    • (2003) The Journal of Supercomputing , vol.26 , Issue.1 , pp. 43-58
    • Thulasiram, R.K.1    Thulasiraman, P.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.