A highly parallel Black-Scholes solver based on adaptive sparse grids.

Alexander Heinecke Stefanie Schraufstetter Hans-Joachim Bungartz

Published in: Int. J. Comput. Math. (2012)

Keyphrases

highly parallel
black scholes
efficient implementation
parallel architectures
option pricing
general purpose
single chip
computing systems
single pass
financial markets
parallel programming
artificial intelligence
multiscale
data analysis
probabilistic model