Acceleration of option pricing technique on graphics processing units-Reference-Cited by-同舟云学术

Acceleration of option pricing technique on graphics processing units

Published:2012-02-06 Issue:9 Volume:26 Page:1626-1639
ISSN:1532-0626
Container-title:Concurrency and Computation: Practice and Experience
language:en
Short-container-title:Concurrency Computat.: Pract. Exper.

Author:

Zhang Bowen¹,Oosterlee Cornelis W.¹²

Affiliation:

1. Delft University of Technology; Delft Institute of Applied Mathematics; Delft The Netherlands

2. CWI, Centrum Wiskunde and Informatica; Amsterdam The Netherlands

Publisher

Wiley

Subject

Computational Theory and Mathematics,Computer Networks and Communications,Computer Science Applications,Theoretical Computer Science,Software

Reference13 articles.

1. Option valuation using fast Fourier transformation;Carr;Journal of Computational Finance,1999

2. Option pricing using the fractional FFT;Chourdakis;Journal of Computational Finance,2004

3. Dempster MAH Hong SSG Spread option valuation and the fast Fourier transform Technical Report WP 26/2000 2000

4. Jackson K Jaimungal S Surkov V Option pricing with regime switching Lévy processes using Fourier space time-stepping Proceeding of the Fourth IASTED international Conference on Financial Engineering and Applications 2007 92 97

5. A novel option pricing method for European options based on Fourier-cosine series expansions;Fang;SIAM Journal on Scientific Computing,2008

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