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Bernard Lapeyre
ORCID
Publication Activity (10 Years)
Years Active: 2009-2021
Publications (10 Years): 1
Top Topics
Option Pricing
Black Scholes
Processing Units
Top Venues
Concurr. Comput. Pract. Exp.
Monte Carlo Methods Appl.
SIAM J. Financial Math.
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Publications
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Bernard Lapeyre
,
Jérôme Lelong
Neural network regression for Bermudan option pricing.
Monte Carlo Methods Appl.
27 (3) (2021)
Jean-Philippe Chancelier
,
Bernard Lapeyre
,
Jérôme Lelong
Using Premia and Nsp for constructing a risk management benchmark for testing parallel architecture.
Concurr. Comput. Pract. Exp.
26 (9) (2014)
Lokman A. Abbas-Turki
,
Stéphane Vialle
,
Bernard Lapeyre
,
Patrick P. Mercier
Pricing derivatives on graphics processing units using Monte Carlo simulation.
Concurr. Comput. Pract. Exp.
26 (9) (2014)
Lokman A. Abbas-Turki
,
Bernard Lapeyre
American Options by Malliavin Calculus and Nonparametric Variance and Bias Reduction Methods.
SIAM J. Financial Math.
3 (1) (2012)
Bernard Lapeyre
,
Jérôme Lelong
A framework for adaptive Monte Carlo procedures.
Monte Carlo Methods Appl.
17 (1) (2011)
Jean-Philippe Chancelier
,
Jérôme Lelong
,
Bernard Lapeyre
Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture
CoRR
(2010)
Lokman A. Abbas-Turki
,
Bernard Lapeyre
American Options Pricing on Multi-core Graphic Cards.
BIFE
(2009)
Lokman A. Abbas-Turki
,
Stéphane Vialle
,
Bernard Lapeyre
,
Patrick P. Mercier
High dimensional pricing of exotic European contracts on a GPU Cluster, and comparison to a CPU cluster.
IPDPS
(2009)
Jean-Philippe Chancelier
,
Bernard Lapeyre
,
Jérôme Lelong
Using Premia and Nsp for constructing a risk management benchmark for testing parallel architecture.
IPDPS
(2009)