Fast and parallel algorithms for pricing American options: keynote.
Jorge NocedalPublished in: SC-WHPCF (2009)
Keyphrases
- parallel algorithm
- option pricing
- black scholes model
- double exponential
- united states
- parallel computation
- shared memory
- stock price
- cluster of workstations
- parallel programming
- parallel implementations
- medial axis transform
- dynamic pricing
- pc cluster
- data mining
- combinatorial search problems
- general purpose
- discovery of association rules
- message passing interface
- parallel version
- search strategies