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Parallel option pricing on GPU: barrier options and realized variance options.
Lorella Fatone
Marco Giacinti
Francesca Mariani
Maria Cristina Recchioni
Francesco Zirilli
Published in:
J. Supercomput. (2012)
Keyphrases
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option pricing
stock price
black scholes
decision analysis
black scholes model
parallel implementation
real option
parallel processing
objective function
parallel computing
artificial intelligence
knowledge base
multi objective
knowledge discovery
capital budgeting