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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
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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