Author:
Dang Duy Minh,Christara Christina,Jackson Kenneth R.
Reference18 articles.
1. High dimensional pricing of exotic European contracts on a GPU cluster, and comparison to a CPU cluster;L A Abbas-Turki;Proceedings of the 2nd International Workshop on Parallel and Distributed Computing in Finance,2009
2. Pricing of cross-currency interest rate derivatives on Graphics Processing Units;D M Dang;Proceedings of the International Symposium on Parallel & Distributed Processing (IPDPS),2010
3. Pricing multi-asset American options on Graphics Processing Units using a PDE approach;D M Dang;Proceedings of the ACM/IEEE International Conference for High Performance Computing, Networking, Storage, and Analysis,2010
4. A parallel implementation on GPUs of ADI finite difference methods for parabolic PDEs with applications in finance;Canadian Applied Mathematics Quarterly (CAMQ),2011
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献