6 search results - page 1 / 2 » Accelerated Simulation for Pricing Asian Options |
WSC
1998
13 years 5 months ago
1998
When pricing options via Monte Carlo simulations, precision can be improved either by performing longer simulations, or by reducing the variance of the estimators. In this paper, ...
WSC
1998
13 years 5 months ago
1998
This paper compares Monte Carlo methods, lattice rules, and other low-discrepancy point sets on the problem of evaluating asian options. The combination of these methods with vari...
ENGL
2008
13 years 4 months ago
2008
High performance computing is becoming increasingly important in the field of financial computing, as the complexity of financial models continues to increase. Many of these financ...
ASAP
2007
IEEE
13 years 8 months ago
2007
IEEE
Monte-Carlo simulations are used in many applications, such as option pricing and portfolio evaluation. Due to their high computational load and intrinsic parallelism, they are id...
CISIS
2011
IEEE
12 years 4 months ago
2011
IEEE
—Computational performance increasingly depends on parallelism, and many systems rely on heterogeneous resources such as GPUs and FPGAs to accelerate computationally intensive ap...