Parallel computing in Asian option pricing

Parallel Computing

Volumn 33, Issue 2, 2007, Pages 92-108

  Sak, Halis ^a,b   Özekici, Süleyman ^c   Bodurog̃lu, Ilkay ^d  

^a BOGAZICI UNIVERSITY   (Turkey)

^b ISTANBUL KULTUR UNIVERSITY   (Turkey)

^c KOÇ UNIVERSITY   (Turkey)

^d ISTANBUL TECHNICAL UNIVERSITY   (Turkey)

Author keywords

Asian option pricing; Computational finance; Finite difference methods; Parallel computing

Indexed keywords

ALGORITHMS; CODES (SYMBOLS); FINANCIAL DATA PROCESSING; FINITE DIFFERENCE METHOD; INDUSTRIAL ECONOMICS; PARTIAL DIFFERENTIAL EQUATIONS;

ASIAN OPTION PRICING; COMPUTATIONAL FINANCE; MASSIVELY PARALLEL PROCESSORS (MPP);

PARALLEL PROCESSING SYSTEMS;

EID: 33847616132     PISSN: 01678191     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.parco.2006.11.002     Document Type: Article

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