Option pricing on the GPU with backward stochastic differential Equation

Proceedings - 2011 4th International Symposium on Parallel Architectures, Algorithms and Programming, PAAP 2011

Volumn , Issue , 2011, Pages 19-23

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

^a SHANDONG UNIVERSITY   (China)

Author keywords

Acceleration; BSDE; GPU; Option Pricing

Indexed keywords

ACCELERATION ALGORITHM; ACCELERATION STRATEGIES; BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; BSDE; FINANCIAL MARKET; GPU; LATTICE BASED METHOD; LOAD BALANCE; MEMORY ACCESS; OPTION PRICING; REAL-TIME APPLICATION; RUNNING TIME; TIME STEP;

ACCELERATION; ALGORITHMS; DIFFERENTIAL EQUATIONS; PARALLEL ARCHITECTURES; PARALLEL PROGRAMMING; STOCHASTIC SYSTEMS;

ECONOMICS;

EID: 84863018741     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/PAAP.2011.12     Document Type: Conference Paper

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