Option Pricing on the GPU with Backward Stochastic Differential Equation - Ying Peng; Bin Gong; Hui Liu; Bin Dai (2011 Fourth International Symposium on Parallel Architectures, Algorithms and Programming, 2011)
Keywords: Acceleration; BSDE; Computational modeling; GPU; Graphics processing unit; Instruction sets; Kernel; Lattices; Option Pricing; Pricing