[IEEE 2010 Workshop on High Performance Computational Finance at SC10 (WHPCF) - Budapest, Hungary (2010.11.14-2010.11.14)] 2010 Workshop on High Performance Computational Finance at SC10 (WHPCF) - Pricing multi-asset American options on Graphics Processing Units using a PDE approach
Dang, Duy Minh, Christara, Christina C., Jackson, Kenneth R.Year:
2010
Language:
english
DOI:
10.1109/WHPCF.2010.5671831
File:
PDF, 200 KB
english, 2010