Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model
Author:
Affiliation:
1. David R. Cheriton School of Computer Science; University of Waterloo; Waterloo ON, N2L 3G1 Canada
2. Department of Computer Science; University of Toronto; Toronto ON, M5S 3G4 Canada
Publisher
Wiley
Subject
Computational Theory and Mathematics,Computer Networks and Communications,Computer Science Applications,Theoretical Computer Science,Software
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/cpe.2824/fullpdf
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