High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU.
Abhijit GhoshChittaranjan MishraPublished in: Comput. Math. Appl. (2022)
Keyphrases
- diffusion model
- diffusion models
- anisotropic diffusion
- option pricing
- parallel computation
- graphics processing units
- computation intensive
- diffusion process
- information diffusion
- financial markets
- black scholes model
- parallel processing
- parallel implementation
- double exponential
- laplace transform
- partial differential equations
- structural models
- markov chain
- wavelet transform
- image processing
- social networks