Towards parallel and distributed computing on GPU for American basket option pricing.
Michael BenguiguiFrançoise BaudePublished in: CloudCom (2012)
Keyphrases
- option pricing
- parallel and distributed computing
- parallel programming
- parallel algorithm
- parallel computing
- parallel computation
- graphics processing units
- parallel processing
- black scholes
- stock price
- decision analysis
- programming environment
- shared memory
- massively parallel
- cloud computing
- black scholes model
- general purpose
- processing units
- parallel implementation
- real time
- multi criteria
- level set