Pricing multi-asset American options on Graphics Processing Units using a PDE approach
| Title: | Pricing multi-asset American options on Graphics Processing Units using a PDE approach |
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| Authors: | Dang, Duy Minh; Christara, Christina C.; Jackson, Kenneth R. |
| Source: | 2010 IEEE Workshop on High Performance Computational Finance High Performance Computational Finance (WHPCF), 2010 IEEE Workshop on. :1-8 Nov, 2010 |
| Relation: | 2010 Workshop on High Performance Computational Finance at SC10 (WHPCF) |
| Database: | IEEE Xplore Digital Library |