3 search results - page 1 / 1 » Parallel option pricing with Fourier Space Time-stepping met... |
IPPS
2008
IEEE
13 years 11 months ago
2008
IEEE
With the evolution of Graphics Processing Units (GPUs) into powerful and cost-efficient computing architectures, their range of application has expanded tremendously, especially i...
FCCM
2009
IEEE
13 years 11 months ago
2009
IEEE
This paper presents an architecture for FPGA acceleration of quadrature methods used for pricing complex options, such as discrete barrier, Bermudan, and American options. The arc...
SC
2009
ACM
13 years 9 months ago
2009
ACM
It has been shown that the sparse grid combination technique can be a practical tool to solve high dimensional PDEs arising in multidimensional option pricing problems in finance...