Pricing derivatives on graphics processing units using Monte Carlo simulation.
Lokman A. Abbas-TurkiStéphane VialleBernard LapeyrePatrick P. MercierPublished in: Concurr. Comput. Pract. Exp. (2014)
Keyphrases
- monte carlo simulation
- graphics processing units
- general purpose
- monte carlo
- gpu implementation
- higher order
- parallel processing
- markov chain
- parallel computing
- graphics hardware
- massively parallel
- computing systems
- graphics processors
- floating point
- parallel implementation
- real time
- efficient implementation
- high performance computing
- compute unified device architecture
- var model
- processing units
- particle filter
- data processing
- search algorithm