Parallel Computing for Option Pricing Based on the Backward Stochastic Differential Equation.
Ying PengBin GongHui LiuYanxin ZhangPublished in: HPCA (China) (2009)
Keyphrases
- parallel computing
- stochastic differential equations
- option pricing
- maximum a posteriori estimation
- brownian motion
- stock price
- fractional brownian motion
- decision analysis
- non stationary
- additive gaussian noise
- shared memory
- computing systems
- real option
- parallel machines
- differential equations
- black scholes model
- long range
- diffusion process
- parallel algorithm
- multi criteria
- heavy traffic
- image segmentation
- optimal control
- stereo matching
- state space
- long term
- bayesian networks