Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU (Q2244180)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU |
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Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU (English)
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11 November 2021
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Bates model
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method-of-lines
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alternating direction implicit schemes
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parallel cyclic reduction
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GPU computing
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