Unifying Finite Difference Option-Pricing for Hardware Acceleration.

Qiwei Jin Wayne Luk David B. Thomas

Published in: FPL (2011)

Keyphrases

finite difference
option pricing
finite element
stock price
black scholes
partial differential equations
numerical solution
numerical analysis
decision analysis
level set
black scholes model
image processing
diffusion equation
real option
optimal solution
long term
pattern recognition
multiscale
computer vision