Parallel option pricing with BSDE method on GPU

Proceedings - 9th International Conference on Grid and Cloud Computing, GCC 2010

Volumn , Issue , 2010, Pages 191-195

  Dai, Bin ^a   Peng, Ying ^a   Gong, Bin ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

BSDE; GPU; High performance computing; Option pricing; Parallel

Indexed keywords

BSDE; GPU; HIGH PERFORMANCE COMPUTING; OPTION PRICING; PARALLEL;

CLOUD COMPUTING; COMPUTER SOFTWARE SELECTION AND EVALUATION; COMPUTER SYSTEMS; COSTS; DIFFERENTIAL EQUATIONS; RISK MANAGEMENT;

ECONOMICS;

EID: 79960392144     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/GCC.2010.47     Document Type: Conference Paper

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