Parallel option pricing with Fourier space time-stepping method on graphics processing units-Reference-Cited by-同舟云学术

Parallel option pricing with Fourier space time-stepping method on graphics processing units

Published:2010-07 Issue:7 Volume:36 Page:372-380
ISSN:0167-8191
Container-title:Parallel Computing
language:en
Short-container-title:Parallel Computing

Author:

Surkov Vladimir

Publisher

Elsevier BV

Subject

Artificial Intelligence,Computer Graphics and Computer-Aided Design,Computer Networks and Communications,Hardware and Architecture,Theoretical Computer Science,Software

Reference19 articles.

1. Numerical valuation of options with jumps in the underlying;Almendral;Applied Numerical Mathematics,2005

2. Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing;Andersen;Review of Derivatives Research,2000

3. M. Briani, R. Natalini, G. Russo, Implicit-explicit numerical schemes for jump-diffusion processes, IAC Report 38, Istituto per le Applicazioni del Calcolo IAC-CNR, 2004.

4. Option valuation using the fast Fourier transform;Carr;Journal of Computational Finance,1999

5. Option pricing on the GPU;Colb;GPU Gems,2005

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