An efficient graphics processing unit-based parallel algorithm for pricing multi-asset American options.
Duy Minh DangChristina C. ChristaraKenneth R. JacksonPublished in: Concurr. Comput. Pract. Exp. (2012)
Keyphrases
- parallel algorithm
- parallel computation
- compute unified device architecture
- parallel programming
- graphics processing units
- message passing interface
- cpu implementation
- shared memory
- option pricing
- graphics processors
- gpu implementation
- parallel computing
- parallel version
- cluster of workstations
- graphics hardware
- general purpose
- highly parallel
- parallel implementation
- computing systems
- high end
- parallel execution
- parallel processing
- massively parallel
- parallel architectures
- computationally efficient
- data processing
- search algorithm
- real time