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- W3124410130 abstract "With the evolution of Graphics Processing Units (GPUs) into powerful and cost-efficient computing architectures, their range of application has expanded tremendously, especially in the area of computational finance. Current research in the area, however, is limited in terms of options priced and complexity of stock price models. This paper presents algorithms, based on the Fourier Space Time-stepping (FST) method, for pricing single and multi-asset European and American options with Levy underliers on a GPU. Furthermore, the single-asset pricing algorithm is parallelized to attain greater efficiency." @default.
- W3124410130 created "2021-02-01" @default.
- W3124410130 creator A5073363027 @default.
- W3124410130 date "2007-01-01" @default.
- W3124410130 modified "2023-10-18" @default.
- W3124410130 title "Parallel Option Pricing with Fourier Space Time-Stepping Method on Graphics Processing Units" @default.
- W3124410130 cites W83699269 @default.
- W3124410130 doi "https://doi.org/10.2139/ssrn.1020207" @default.
- W3124410130 hasPublicationYear "2007" @default.
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